General Freidlin-Wentzell large deviations and positive diffusions

DOI10.1016/J.SPL.2011.03.020zbMath1260.60044OpenAlexW2063026525MaRDI QIDQ553047

Lucia Caramellino, Paolo Baldi

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.020

zbMATH Keywords

large deviationsdiffusion processesCIR and CEV models

Mathematics Subject Classification ID

Diffusion processes (60J60) Large deviations (60F10) Financial applications of other theories (91G80)

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Cites Work

• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Some Asymptotic Formulas for Wiener Integrals
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