Subject: large deviations | Gärtner-Ellis | Mathematics - Probability | non-convex rate function | math.PR | Statistics & Probability | 60F10 | stochastic processes | 0104 Statistics
We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model), and adds a new item to the zoology of non strictly convex large deviations. For one of t... View more
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