Viscosity methods for large deviations estimates for multiscale stochastic processes

摘要

We study singular perturbation problems for second order HJB equations in anunbounded setting. The main applications are large deviations estimates for theshort maturity asymptotics of stochastic systems affected by a stochasticvolatility, where the volatility is modelled by a process evolving at a fastertime scale and satisfying some condition implying ergodicity.