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- W4299445388 abstract "We consider stochastic control systems affected by a fast mean reverting volatility $Y(t)$ driven by a pure jump L'evy process. Motivated by a large literature on financial models, we assume that $Y(t)$ evolves at a faster time scale $frac{t}{varepsilon}$ than the assets, and we study the asymptotics as $varepsilonto 0$. This is a singular perturbation problem that we study mostly by PDE methods within the theory of viscosity solutions." @default.
- W4299445388 created "2022-10-02" @default.
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- W4299445388 date "2014-05-26" @default.
- W4299445388 modified "2023-10-16" @default.
- W4299445388 title "Convergence in Multiscale Financial Models with Non-Gaussian Stochastic Volatility" @default.
- W4299445388 doi "https://doi.org/10.48550/arxiv.1405.6514" @default.
- W4299445388 hasPublicationYear "2014" @default.
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