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Large and moderate deviations for stochastic Volterra systems

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Title: Large and moderate deviations for stochastic Volterra systems
Authors: Jacquier, A
Pannier, A
Item 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.
Issue Date: 1-Jul-2022
Date of Acceptance: 28-Mar-2022
URI: http://hdl.handle.net/10044/1/96704
DOI: 10.1016/j.spa.2022.03.017
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/)
Sponsor/Funder: Engineering & Physical Science Research Council (EPSRC)
Funder's Grant Number: EP/T032146/1
Keywords: math.PR
60F10, 60G22, 91G20
60F10, 60G22, 91G20
Statistics & Probability
0102 Applied Mathematics
0104 Statistics
1502 Banking, Finance and Investment
Notes: 38 pages
Publication Status: Published
Online Publication Date: 2022-04-06
Appears in Collections:Financial Mathematics
Faculty of Natural Sciences

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