Two examples of non strictly convex large deviations
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Published version
Author(s)
De Marco, S
Jacquier, A
Roome, P
Type
Journal Article
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.
Date Issued
2016-05-04
Date Acceptance
2016-04-27
Citation
Electronic Communications in Probability, 2016, 21, pp.1-12
ISSN
1083-589X
Publisher
Institute of Mathematical Statistics
Start Page
1
End Page
12
Journal / Book Title
Electronic Communications in Probability
Volume
21
Copyright Statement
Made available under a Creative Commons Attribution 4.0 International License.
License URL
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Grant Number
EP/M008436/1
Subjects
math.PR
60F10
Statistics & Probability
0104 Statistics
Publication Status
Published
Article Number
38
Date Publish Online
2016-05-04