Date
1995
Alternative titles
Large deviations for diffusion processes coupled by a jump process
Dewey
Probabilités et mathématiques appliquées
Sujet
viscosity solutions; Nonlinear partial differential equation; Large Deviations
Journal issue
Comptes Rendus de l'Académie des Sciences. Série 1, Mathématique
Volume
321
Number
7
Publication date
1995
Article pages
849-854
Publisher
Elsevier
Author
Lasry, Jean-Michel
Lions, Pierre-Louis
Type
Article accepté pour publication ou publié
Abstract (EN)
We 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.
