Large deviation principle for stochastic differential equations driven by stochastic integrals

DOI10.1137/24M1653306MaRDI QIDQ6978127zbMATH OpenFDO

Authors Ryoji Takano

Publication date 28 May 2025

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M1653306

zbMATH Keywords

large deviation principlerough path theoryrough volatility model

Mathematics Subject Classification ID

Large deviations (60F10) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Rough paths (60L20) Financial applications of other theories (91G80)

Cites work

• A course on rough paths. With an introduction to regularity structures
• A large deviation principle for stochastic integrals
• A partial rough path space for rough volatility
• A regularity structure for rough volatility
• Application of large deviation methods to the pricing of index options in finance.
• Approximations of the Brownian rough path with applications to stochastic analysis
• Asymptotic behavior of the fractional Heston model
• Asymptotics and calibration of local volatility models
• Asymptotics for Rough Stochastic Volatility Models
• Brownian motion martingales and stochastic calculus
• Controlling rough paths
• Corrigendum to: ``Pathwise large deviations for the rough Bergomi model
• Extreme-strike asymptotics for general Gaussian stochastic volatility models
• Functional central limit theorems for rough volatility
• General asymptotics of Wiener functionals and application to implied volatilities
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 1158743 (Why is no real title available?)
• scientific article; zbMATH DE number 1484659 (Why is no real title available?)
• Large and moderate deviations for stochastic Volterra systems
• Large deviation analysis of the single server queue
• Large deviation principle for Volterra type fractional stochastic volatility models
• Large deviations and asymptotic methods in finance
• Multidimensional stochastic processes as rough paths. Theory and applications.
• On rough differential equations
• Pathwise large deviations for the rough Bergomi model
• Precise asymptotics: robust stochastic volatility models
• Pricing under rough volatility
• Short-dated smile under rough volatility: asymptotics and numerics
• Short-time near-the-money skew in rough fractional volatility models
• Small-time asymptotics for Gaussian self-similar stochastic volatility models
• Some Applications and Methods of Large Deviations in Finance and Insurance
• Volatility has to be rough

This page was built for publication: Large deviation principle for stochastic differential equations driven by stochastic integrals

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6978127)