Two examples of non strictly convex large deviations

2014/11/26 by De Marco, Stefano, Jacquier, Antoine, Roome, Patrick
#60F10 #FOS: Mathematics #Probability (math.PR)

paper · doi:10.48550/arxiv.1411.7256

Abstract

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 these examples, we show that the rate function of the Cramer-type of large deviations coincides with that of the Freidlin-Wentzell when contraction principles are applied.

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