Large deviations for multi-scale regime-switching jump diffusion systems
type: Item
instance of: scholarly article
title: Large deviations for multi-scale regime-switching jump diffusion systems
zbMATH Open document ID: 1504.60043
author: Xiaocui Ma
author: Jun Li
author: Fubao Xi
published in: Communications on Pure and Applied Analysis
publication date: 2022-11-23T00:00:00Z
review text: The authors prove a large-deviation principle for jump-diffusion processes with coefficients (drift, diffusion, jump kernel) depending on an additional Markov chain in the regime of small noise (diffusion, Lévy) and a fast environment (Markov chain). The rate function has a variational representation as a minimization problem with terms representing the diffusive and both jump-noises. The method of the proof is a generalization of the weak convergence approach to large deviation developed by \textit{A. Budhiraja} et al. [Electron. J. Probab. 23, Paper No. 112, 33 p. (2018; Zbl 1402.60030)].
reviewed by: André Schlichting
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 60H10
Mathematics Subject Classification ID: 60J76
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60K37
zbMATH DE Number: 7622323
zbMATH Keywords: large deviation
zbMATH Keywords: variational representation
zbMATH Keywords: regime-switching jump diffusion
zbMATH Keywords: multi-scale dynamic
MaRDI profile type: Publication
full work available at URL: cpaa.2022147
OpenAlex ID: W4312698688
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DOI: 10.3934/CPAA.2022147
description: scientific article; zbMATH DE number 7622323