Event
Rohini Kumar, Wayne State University
Thursday, October 6, 2016 16:30to17:30
Burnside Hall
room 1205, 805 rue Sherbrooke Ouest, Montreal, QC, H3A 0B9, CA
Large deviations for multi-scale jump-diffusion processes.
Abstract:
We present large deviation results for a two time-scale model of jump-diffusion processes. The processes on the two time scales are fully inter-dependent, the slow process has small perturbative noise and the fast process is ergodic. Our results extend previous large deviation results for diffusions. We provide concrete examples in their applications to finance and biology, with an explicit calculation of the large deviation rate function.
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