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

DOI10.1007/978-3-319-11605-1_17zbMath1418.91550arXiv1404.4464OpenAlexW1511563235MaRDI QIDQ4560342

Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel

Publication date: 11 December 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.4464

zbMATH Keywords

large deviationstail asymptoticsCIR processdegenerate diffusionsFreidlin-Wentzellpathwise large deviationssquare-root diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Financial applications of other theories (91G80) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Related Items (6)

Large and moderate deviations for stochastic Volterra systems ⋮ Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions ⋮ Large deviation principles for stochastic volatility models with reflection ⋮ Multilevel Monte Carlo for Stochastic Differential Equations with Small Noise ⋮ Large-maturity regimes of the Heston forward smile ⋮ Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness

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