On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (Q4560342)

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scientific article; zbMATH DE number 6991898
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On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models
scientific article; zbMATH DE number 6991898

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    On Small-Noise Equations with Degenerate Limiting System Arising from Volatility Models (English)
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    11 December 2018
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    pathwise large deviations
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    square-root diffusions
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    tail asymptotics
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    Freidlin-Wentzell
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    large deviations
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    degenerate diffusions
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    CIR process
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