Two examples of non strictly convex large deviations
Probability
2016-04-19 v3
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. For one of these examples, we show that the rate function of the Cramer-type of large deviations coincides with that of the Freidlin-Wentzell when contraction principles are applied.
Keywords
Cite
@article{arxiv.1411.7256,
title = {Two examples of non strictly convex large deviations},
author = {Stefano De Marco and Antoine Jacquier and Patrick Roome},
journal= {arXiv preprint arXiv:1411.7256},
year = {2016}
}
Comments
11 pages