• xmlui.mirage2.page-structure.header.title
    • français
    • English
  • Help
  • Login
  • Language 
    • Français
    • English
View Item 
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
  •   BIRD Home
  • CEREMADE (UMR CNRS 7534)
  • CEREMADE : Publications
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Browse

BIRDResearch centres & CollectionsBy Issue DateAuthorsTitlesTypeThis CollectionBy Issue DateAuthorsTitlesType

My Account

LoginRegister

Statistics

Most Popular ItemsStatistics by CountryMost Popular Authors
Thumbnail - Request a copy

Grandes déviations pour des processus de diffusion couplés par un processus de sauts

Lasry, Jean-Michel; Lions, Pierre-Louis (1995), Grandes déviations pour des processus de diffusion couplés par un processus de sauts, Comptes Rendus de l'Académie des Sciences. Série 1, Mathématique, 321, 7, p. 849-854

Type
Article accepté pour publication ou publié
Date
1995
Journal name
Comptes Rendus de l'Académie des Sciences. Série 1, Mathématique
Volume
321
Number
7
Publisher
Elsevier
Pages
849-854
Metadata
Show full item record
Author(s)
Lasry, Jean-Michel
Lions, Pierre-Louis
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.
Subjects / Keywords
viscosity solutions; Nonlinear partial differential equation; Large Deviations

Related items

Showing items related by title and author.

  • Thumbnail
    A Long-Term Mathematical Model for Mining Industries 
    Achdou, Yves; Giraud, Pierre-Noël; Lasry, Jean-Michel; Lions, Pierre-Louis (2016) Article accepté pour publication ou publié
  • Thumbnail
    Long time average of mean field games 
    Cardaliaguet, Pierre; Lasry, Jean-Michel; Lions, Pierre-Louis; Porretta, Alessio (2012) Article accepté pour publication ou publié
  • Thumbnail
    Long Time Average of Mean Field Games with a Nonlocal Coupling 
    Porretta, Alessio; Lions, Pierre-Louis; Lasry, Jean-Michel; Cardaliaguet, Pierre (2013) Article accepté pour publication ou publié
  • Thumbnail
    The master equation and the convergence problem in mean field games 
    Cardaliaguet, Pierre; Delarue, François; Lasry, Jean-Michel; Lions, Pierre-Louis (2015-09) Document de travail / Working paper
  • Thumbnail
    Paris-Princeton Lectures on Mathematical Finance 2010 
    Cousin, Areski; Crépey, Stéphane; Guéant, Olivier; Hobson, David; Jeanblanc, Monique; Lasry, Jean-Michel; Laurent, Jean-Paul; Lions, Pierre-Louis; Tankov, Peter (2011) Ouvrage
Dauphine PSL Bibliothèque logo
Place du Maréchal de Lattre de Tassigny 75775 Paris Cedex 16
Phone: 01 44 05 40 94
Contact
Dauphine PSL logoEQUIS logoCreative Commons logo