Large and moderate deviations for stochastic Volterra systems
File(s)
Published version
Author(s)
Jacquier, Antoine
Pannier, Alexandre
Type
Journal Article
Abstract
We provide a unified treatment of pathwise Large and Moderate deviations
principles for a general class of multidimensional stochastic Volterra
equations with singular kernels, not necessarily of convolution form. Our
methodology is based on the weak convergence approach by Budhijara, Dupuis and Ellis. We show in particular how this framework encompasses most rough volatility models used in mathematical finance and generalises many recent results in the literature.
principles for a general class of multidimensional stochastic Volterra
equations with singular kernels, not necessarily of convolution form. Our
methodology is based on the weak convergence approach by Budhijara, Dupuis and Ellis. We show in particular how this framework encompasses most rough volatility models used in mathematical finance and generalises many recent results in the literature.
Date Issued
2022-07-01
Date Acceptance
2022-03-28
Citation
Stochastic Processes and their Applications, 2022, 149, pp.142-187
ISSN
0304-4149
Publisher
Elsevier
Start Page
142
End Page
187
Journal / Book Title
Stochastic Processes and their Applications
Volume
149
Copyright Statement
Crown Copyright © 2022 Published by Elsevier B.V. This is an open access article under the CC BY license
(http://creativecommons.org/licenses/by/4.0/)
(http://creativecommons.org/licenses/by/4.0/)
License URL
Sponsor
Engineering & Physical Science Research Council (EPSRC)
Identifier
http://arxiv.org/abs/2004.10571v2
Grant Number
EP/T032146/1
Subjects
math.PR
math.PR
q-fin.PR
60F10, 60G22, 91G20
Notes
38 pages
Publication Status
Published
Date Publish Online
2022-04-06