Convergence in Multiscale Financial Models with Non-Gaussian Stochastic   Volatility
  We consider stochastic control systems affected by a fast mean reverting volatility $Y(t)$ driven by a pure jump L\'evy process. Motivated by a large literature on financial models, we assume that $Y(t)$ evolves at a faster time scale $\frac{t}{\varepsilon}$ than the assets, and we study the asymptotics as $\varepsilon\to 0$. This is a singular perturbation problem that we study mostly by PDE methods within the theory of viscosity solutions. 
Martino Bardi, Annalisa Cesaroni, Andrea Scotti
math.PR math.AP q-fin.PR