Convergence in multiscale financial models with non-Gaussian stochastic volatility

DOI10.1051/cocv/2015015zbMath1369.93713arXiv1405.6514OpenAlexW1664502219MaRDI QIDQ2808055

Martino Bardi, Andrea Scotti, Annalisa Cesaroni

Publication date: 26 May 2016

Published in: ESAIM: Control, Optimisation and Calculus of Variations (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.6514

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsingular perturbationviscosity solutionportfolio optimizationjump processstochastic control systemmultiple scalemean reverting volatility

Mathematics Subject Classification ID

Related Items (4)

Periodic homogenization for weakly elliptic Hamilton-Jacobi-Bellman equations with critical fractional diffusion ⋮ Large deviations for a slow-fast system with jump-diffusion processes ⋮ On a conjecture of De Giorgi related to homogenization ⋮ Large deviations for multi-scale jump-diffusion processes

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