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

Résultats de recherche: Contribution à un journal › Article › Revue par des pairs

2 Citations (Scopus)

Résumé

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.

langue originale	Anglais
Numéro d'article	38
journal	Electronic Communications in Probability
Volume	21
Les DOIs	https://doi.org/10.1214/16-ECP4088
état	Publié - 1 janv. 2016
Modification externe	Oui

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10.1214/16-ECP4088

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KW - Non-convex rate function

KW - Stochastic processes

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JO - Electronic Communications in Probability

JF - Electronic Communications in Probability

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Two examples of non strictly convex large deviations

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