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arXiv · 1411.7256

Two examples of non strictly convex large deviations

Stefano De Marco·Antoine Jacquier·Patrick Roome
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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.

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Stefano De Marco, Antoine Jacquier, Patrick Roome. 2014-11-26. Two examples of non strictly convex large deviations. https://arxiv.org/abs/1411.7256

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