Two examples of non strictly convex large deviations

DOI10.1214/16-ECP4088MaRDI QIDQ287838zbMATH OpenOpenAlexFDO

Authors Stefano De Marco, Antoine Jacquier, Patrick Roome

Publication date 23 May 2016

Published in Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1411.7256, https://projecteuclid.org/euclid.ecp/1462368222

zbMATH Keywords

Gärtner-Ellislarge deviationsnon-convex rate functionstochastic processes

Mathematics Subject Classification ID

Large deviations (60F10)

Abstract: 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. For one of these examples, we show that the rate function of the Cramer-type of large deviations coincides with that of the Freidlin-Wentzell when contraction principles are applied.

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