Two examples of non strictly convex large deviations

Stefano De Marco; Antoine Jacquier; Patrick Roome

doi:10.1214/16-ECP4088

Two examples of non strictly convex large deviations

Stefano De Marco, Antoine Jacquier, Patrick Roome

Imperial College London

Research output: Contribution to journal › Article › peer-review

Abstract

We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model), and adds a new item to the zoology of non strictly convex large deviations.

Original language	English
Article number	38
Journal	Electronic Communications in Probability
Volume	21
DOIs	https://doi.org/10.1214/16-ECP4088
Publication status	Published - 1 Jan 2016
Externally published	Yes

Keywords

Gärtner-Ellis
Large deviations
Non-convex rate function
Stochastic processes

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10.1214/16-ECP4088

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KW - Gärtner-Ellis

KW - Large deviations

KW - Non-convex rate function

KW - Stochastic processes

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M3 - Article

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SN - 1083-589X

VL - 21

JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

M1 - 38

ER -

Two examples of non strictly convex large deviations

Abstract

Keywords

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