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
Date Written: January 31, 2015
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: Suggested Citation