The Gärtner-Ellis Theorem, Homogenization, and Affine Processes
DOI10.1007/978-3-319-11605-1_11zbMath1418.91616arXiv1406.3716OpenAlexW1830646839MaRDI QIDQ4560336
Archil Gulisashvili, Josef Teichmann
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/1406.3716
large deviation principleLaplace methodheat kernel expansionshort time asymptoticsaffine processsmall maturity limit in affine models
Stochastic models in economics (91B70) Large deviations (60F10) Financial applications of other theories (91G80) Stochastic processes (60G99) Heat kernel (35K08)
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Cites Work
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