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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| English | 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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0.7819778323173523
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0.7712966799736023
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0.748751699924469
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0.7465838193893433
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