Asymptotics for multifactor Volterra type stochastic volatility models

DOI10.1080/07362994.2022.2120012arXiv2109.09448OpenAlexW3201062899MaRDI QIDQ6087161

Unnamed Author, Barbara Pacchiarotti

Publication date: 11 December 2023

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2109.09448

zbMATH Keywords

large deviation principleChaganty theoremmultifactor stochastic volatility modelsVolterra-type Gaussian processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Large deviations (60F10)

Cites Work

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