Two Examples of Non Strictly Convex Large Deviations

Forthcoming in Electronic Communications in Probability

11 Pages Posted: 28 Nov 2014 Last revised: 1 May 2016

See all articles by Stefano De Marco

Stefano De Marco

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees

Antoine (Jack) Jacquier

Imperial College London; The Alan Turing Institute

Patrick Roome

Imperial College London - Department of Mathematics

Date Written: January 31, 2015

Abstract

We present here two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by an example from mathematical finance, and adds a new item to the zoology of non strictly convex large deviations. For one of these examples, we also show that the rate function of the Cramer-type of large deviations coincides with that of the Freidlin-Wentzell when contraction principles are applied.

Keywords: Heston model, Sharp large deviations, Freidlin-Wentzell

JEL Classification: F10

Suggested Citation

De Marco, Stefano and Jacquier, Antoine and Roome, Patrick, Two Examples of Non Strictly Convex Large Deviations (January 31, 2015). Forthcoming in Electronic Communications in Probability, Available at SSRN: https://ssrn.com/abstract=2531003 or http://dx.doi.org/10.2139/ssrn.2531003

Stefano De Marco

Ecole Polytechnique, Paris - Centre de Mathematiques Appliquees ( email )

Palaiseau Cedex, 91128
France

Antoine Jacquier

Imperial College London ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

HOME PAGE: http://wwwf.imperial.ac.uk/~ajacquie/

The Alan Turing Institute ( email )

British Library, 96 Euston Road
London, NW12DB
United Kingdom

Patrick Roome (Contact Author)

Imperial College London - Department of Mathematics ( email )

South Kensington Campus
London SW7 2AZ, SW7 2AZ
United Kingdom

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