Two examples of non strictly convex large deviations

Article, Preprint, Other literature type English OPEN
De Marco, Stefano; Jacquier, Antoine; Roome, Patrick;
  • Publisher: The Institute of Mathematical Statistics and the Bernoulli Society
  • Journal: issn: 1083-589X
  • Publisher copyright policies & self-archiving
  • Identifiers: doi: 10.1214/16-ECP4088
  • Subject: large deviations | Gärtner-Ellis | Mathematics - Probability | math.PR | non-convex rate function | 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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