Add to ORKGWe study a large-deviation problem arising in mathematical finance. It concerns diffusion processes coupled by a jump process. The proofs are based upon the associated nonlinear partial differential equations and the theory of viscosity solutions.ou
We consider a class of diffusion processes on Euclidean spaces, with the drift terms not weaker than...
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establ...
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are no...
In this text we survey some large deviation results for diffusion processes. The first chapters pres...
International audienceWe establish a Large Deviations Principle for diffusions with Lipschitz contin...
This thesis collect some of the main results in the theory of Large Deviations for diffusion process...
We prove the large deviation principle (LDP) for the trajectory of a broad class of finite state mea...
ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory ...
The martingale problems provide a powerful tool for characterizing Markov processes, especially in a...
International audienceIn this work, we investigate links between the formulation of the flow of marg...
We prove the large deviation principle (LDP) for the trajectory of a broad class of finite state mea...
International audienceIn this work, we investigate links between the formulation of the flow of marg...
We consider a class of diffusion processes on Euclidean spaces, with the drift terms not weaker than...
AbstractWe study large deviations properties related to the behavior, asεgoes to 0, of diffusion pro...
Abstract. We consider a class of diffusion processes on Euclidean spaces, with the drift terms not w...
We consider a class of diffusion processes on Euclidean spaces, with the drift terms not weaker than...
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establ...
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are no...
In this text we survey some large deviation results for diffusion processes. The first chapters pres...
International audienceWe establish a Large Deviations Principle for diffusions with Lipschitz contin...
This thesis collect some of the main results in the theory of Large Deviations for diffusion process...
We prove the large deviation principle (LDP) for the trajectory of a broad class of finite state mea...
ABSTRACT: We consider a jump-diffusion Levy model, which is often used in financial and risk theory ...
The martingale problems provide a powerful tool for characterizing Markov processes, especially in a...
International audienceIn this work, we investigate links between the formulation of the flow of marg...
We prove the large deviation principle (LDP) for the trajectory of a broad class of finite state mea...
International audienceIn this work, we investigate links between the formulation of the flow of marg...
We consider a class of diffusion processes on Euclidean spaces, with the drift terms not weaker than...
AbstractWe study large deviations properties related to the behavior, asεgoes to 0, of diffusion pro...
Abstract. We consider a class of diffusion processes on Euclidean spaces, with the drift terms not w...
We consider a class of diffusion processes on Euclidean spaces, with the drift terms not weaker than...
We consider a jump-diffusion process on a bounded domain with reflection at the boundary, and establ...
Large deviations for fat tailed distributions, i.e. those that decay slower than exponential, are no...