Two examples of non strictly convex large deviations

DOI10.1214/16-ECP4088zbMath1338.60079arXiv1411.7256OpenAlexW3122921179MaRDI QIDQ287838

Patrick Roome, Antoine Jacquier, Stefano De Marco

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

zbMATH Keywords

stochastic processeslarge deviationsGärtner-Ellisnon-convex rate function

Mathematics Subject Classification ID

Large deviations (60F10)

Related Items (1)

Black-Scholes in a CEV random environment

This page was built for publication: Two examples of non strictly convex large deviations