Electronic Communications in Probability

Two examples of non strictly convex large deviations

Stefano De Marco, Antoine Jacquier, and Patrick Roome

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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.

Article information

Electron. Commun. Probab., Volume 21 (2016), paper no. 38, 12 pp.

Received: 31 January 2015
Accepted: 27 April 2016
First available in Project Euclid: 4 May 2016

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Zentralblatt MATH identifier

Primary: 60F10: Large deviations

large deviations non-convex rate function Gärtner-Ellis stochastic processes

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De Marco, Stefano; Jacquier, Antoine; Roome, Patrick. Two examples of non strictly convex large deviations. Electron. Commun. Probab. 21 (2016), paper no. 38, 12 pp. doi:10.1214/16-ECP4088. https://projecteuclid.org/euclid.ecp/1462368222

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