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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 math.PR q-fin.PR 60F10, 60G22, 91G20 math.PR math.PR q-fin.PR 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 Mathematics |
This item is licensed under a Creative Commons License