Large deviations for Markov processes with switching and homogenisation via Hamilton-Jacobi-Bellman equations

DOI10.1016/j.spa.2024.104301arXiv2212.02282OpenAlexW4390929411WikidataQ129745905 ScholiaQ129745905MaRDI QIDQ6123283

Serena Della Corte, Richard Clemens Kraaij

Publication date: 4 March 2024

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2212.02282

zbMATH Keywords

Hamilton-Jacobi equationcomparison principlelarge deviationsviscosity solutionsswitching Markov process

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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