Weak convergence and large deviations for RV_ Volterra-Lévy processes

DOI10.1007/S10986-026-09733-2MaRDI QIDQ7389359zbMATH OpenFDO

Authors Barbara Pacchiarotti

Publication date 2026

Published in Lithuanian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10986-026-09733-2

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Large deviations (60F10) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

Cites work

• Affine Volterra processes with jumps
• Ambit processes; with applications to turbulence and tumour growth
• Foundations of modern probability. In 2 volumes
• Fractional calculus and pathwise integration for Volterra processes driven by Lévy and martingale noise
• Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• Large and moderate deviations for stochastic Volterra systems
• Large deviations of continuous Gaussian processes: from small noise to small time
• Large deviations techniques and applications.
• Modelling energy spot prices by volatility modulated Lévy-driven Volterra processes
• On the approximation of Lévy driven Volterra processes and their integrals
• Pathwise asymptotics for Volterra type stochastic volatility models
• Small-time asymptotics for Gaussian self-similar stochastic volatility models
• Stochastic analysis of Gaussian processes via Fredholm representation

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