Large deviations for Markov-modulated diffusion processes with rapid switching-Reference-Cited by-同舟云学术

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Large deviations for Markov-modulated diffusion processes with rapid switching

Published:2016-06 Issue:6 Volume:126 Page:1785-1818
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Huang Gang,Mandjes Michel,Spreij Peter

Publisher

Elsevier BV

Subject

Applied Mathematics,Modeling and Simulation,Statistics and Probability

Reference30 articles.

1. Stopping times and tightness;Aldous;Ann. Probab.,1978

2. Credit Risk: Modelling, Valuation and Hedging;Bielecki,2002

3. On large deviation principles in metric spaces;Borovkov;Sibirsk. Mat. Zh.,2010

4. Large Deviations Techniques and Applications;Dembo,2010

5. Large Deviations;den Hollander,2000

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