General Freidlin-Wentzell large deviations and positive diffusions

DOI10.1016/J.SPL.2011.03.020zbMATH Open1260.60044OpenAlexW2063026525MaRDI QIDQ553047FDOQ553047

Authors: Lucia Caramellino, Paolo Baldi 

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.03.020

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zbMATH Keywords

large deviationsdiffusion processesCIR and CEV models

Mathematics Subject Classification ID

Large deviations (60F10) Diffusion processes (60J60) Financial applications of other theories (91G80)

Cites Work

• Large deviations for squares of Bessel and Ornstein-Uhlenbeck processes
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• Some Asymptotic Formulas for Wiener Integrals
• Sample path large deviations and optimal importance sampling for stochastic volatility models
• Large deviations for Wishart processes
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Cited In (24)

• Moderate deviations and central limit theorem for positive diffusions
• Title not available (Why is that?)
• Central limit theorem and moderate deviation principle for CKLS model with small random perturbation
• Marginal density expansions for diffusions and stochastic volatility. II: Applications
• Title not available (Why is that?)
• SHORT MATURITY ASIAN OPTIONS FOR THE CEV MODEL
• On large deviations for small noise Itô processes
• Asymptotic properties of coupled forward-backward stochastic differential equations
• Title not available (Why is that?)
• Large deviations estimates in semi-group theory
• Gaussian stochastic volatility models: scaling regimes, large deviations, and moment explosions
• Finding transition pathways on manifolds
• On small-noise equations with degenerate limiting system arising from volatility models
• The Freidlin-Wentzell LDP with rapidly growing coefficients
• Time-inhomogeneous Gaussian stochastic volatility models: large deviations and super roughness
• Short maturity forward start Asian options in local volatility models
• Most-likely-path in Asian option pricing under local volatility models
• Large deviation principles for stochastic volatility models with reflection
• Some generalizations of wentzell's lower estimates on large deviations
• Local Volatility, Conditioned Diffusions, and Varadhan's Formula
• Large deviation principle for complex solution to squared Bessel SDE
• Large deviation principle of Freidlin-Wentzell type for pinned diffusion processes
• SHORT-MATURITY ASYMPTOTICS FOR OPTION PRICES WITH INTEREST RATE EFFECTS
• The concentration of zero-noise limits of invariant measures for stochastic dynamical systems

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