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20062025
most citedSmall-time asymptotics for fast mean-reverting stochastic volatility models

68 citations · 89 across the 5 of their papers we have counts for

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math.PR2025

A system of Schrödinger's problems and functional equations

Toshio Mikami, Jin Feng

We propose and study a system of Schrödinger's problems and functional equations in probability theory. More precisely, we consider a system of variational problems of relative ent…

math.PR2006★ 18 cited

Large deviation for diffusions and Hamilton--Jacobi equation in Hilbert spaces

Jin Feng

Large deviation for Markov processes can be studied by Hamilton--Jacobi equation techniques. The method of proof involves three steps: First, we apply a nonlinear transform to gene…