most citedLarge deviations for Cox-Ingersoll-Ross processes with state-dependent fast switching

1 citations · 1 across the 2 of their papers we have counts for

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2 papers

math.PR2024

Large deviations for slow-fast processes on connected complete Riemannian manifolds

Yanyan Hu, Richard C. Kraaij, Fubao Xi

We consider a class of slow-fast processes on a connected complete Riemannian manifold .The limiting dynamics as the scale separation goes to is governed by the averagi…

math.PR2023★ 1 cited

Large deviations for Cox-Ingersoll-Ross processes with state-dependent fast switching

Yanyan Hu, Richard C. Kraaij, Fubao Xi

We study the large deviations for Cox-Ingersoll-Ross (CIR) processes with small noise and state-dependent fast switching via associated Hamilton-Jacobi equations. As the separation…