Convergence in Multiscale Financial Models with Non-gaussian Stochastic Volatility
نویسندگان
چکیده
We consider stochastic control systems affected by a fast mean reverting volatility Y (t) driven by a pure jump Lévy process. Motivated by a large literature on financial models, we assume that Y (t) evolves at a faster time scale t/ than the assets, and we study the asymptotics as → 0. This is a singular perturbation problem that we study mostly by PDE methods within the theory of viscosity solutions.
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تاریخ انتشار 2015