Related papers: Large deviations for fractional volatility models …

We demonstrate the large deviation property for the mild solutions of stochastic evolution equations with monotone nonlinearity and multiplica- tive noise. This is achieved using the recently developed weak convergence method, in studying…

We prove a large deviations principle for the class of multidimensional affine stochastic volatility models considered in (Gourieroux, C. and Sufana, R., J. Bus. Econ. Stat., 28(3), 2010), where the volatility matrix is modelled by a…

This work is devoted to studying asymptotic behaviors for Volterra type McKean-Vlasov stochastic differential equations with small noise. By applying the weak convergence approach, we establish the large and moderate deviation principles.…

This paper establishes a Freidlin-Wentzell large deviation principle for stochastic differential equations(SDEs) under locally weak monotonicity conditions and Lyapunov conditions. We illustrate the main result of the paper by showing that…

Based on empirical market data, a stochastic volatility model is proposed with volatility driven by fractional noise. The model is used to obtain a risk-neutrality option pricing formula and an option pricing equation.

A large deviation principle is established for a general class of stochastic flows in the small noise limit. This result is then applied to a Bayesian formulation of an image matching problem, and an approximate maximum likelihood property…

We consider a system of stochastic interacting particles in $\mathbb{R}^d$ and we describe large deviations asymptotics in a joint mean-field and small-noise limit. Precisely, a large deviations principle (LDP) is established for the…

We demonstrate the large deviation principle in the small noise limit for the mild solution of stochastic evolution equations with monotone nonlinearity. A recently developed method, weak convergent method, has been employed in studying the…

We introduce a Hawkes-like process and study its scaling limit as the system becomes increasingly endogenous. We derive functional limit theorems for intensity and fluctuations. Then, we introduce a high-frequency model for a price of a…

This paper is concerned with the large deviation principle of the non-local fractional stochastic reaction-diffusion equation with a polynomial drift of arbitrary degree driven by multiplicative noise defined on unbounded domains. We first…

We consider the problem of estimating stochastic volatility for a class of second-order parabolic stochastic PDEs. Assuming that the solution is observed at a high temporal frequency, we use limit theorems for multipower variations and…

We consider the class of self-similar Gaussian stochastic volatility models, and compute the small-time (near-maturity) asymptotics for the corresponding asset price density, the call and put pricing functions, and the implied volatilities.…

Recent empirical studies suggest that the volatility of an underlying price process may have correlations that decay slowly under certain market conditions. In this paper, the volatility is modeled as a stationary process with long-range…

Dynamical system models with delayed dynamics and small noise arise in a variety of applications in science and engineering. In many applications, stable equilibrium or periodic behavior is critical to a well functioning system. Sufficient…

We consider a stochastic volatility model where the moment generating function of the logarithmic price is finite only on part of the real line. Using a new Tauberian result obtained in [1] and [2], we show that the knowledge of the moment…

We study the large deviations principle (LDP) for stationary solutions of a class of stochastic differential equations (SDE) in infinite time intervals by the weak convergence approach, and then establish the LDP for the invariant measures…

In this paper, we consider Caputo type fractional stochastic time-delay system with permutable matrices. We derive stochastic analogue of variation of constants formula via a newly defined delayed Mittag-Leffer type matrix function. Thus,…

We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a new result about the moderate deviations principle for…

We investigate the Large Deviation behavior in small time of continuous Gaussian processes. We introduce a general procedure allowing to derive Large Deviation Principles in small time starting from the well understood context of Large…

Using the weak convergence approach, we prove the large deviation principle (LDP) for solutions to quasilinear stochastic evolution equations with small Gaussian noise in the critical variational setting, a recently developed general…