Large deviations for multi-scale regime-switching jump diffusion systems
Xiaocui Ma, Jun Li, Fubao Xi · Communications on Pure & Applied Analysis · 2022
The regime-switching jump diffusion processes can be viewed as jump diffusion processes in random environments, which are characterized by finite state pure jump processes. In the present paper, we establish a large deviation principle for the regime-switching jump diffusion processes as the small parameter \begin{document}$ \varepsilon $\end{document} tends to zero. The method is based on the weak convergence approach, developed by Budhiraja, Dupuis, Ganguly and their collaborators.