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• W2950622966 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." @default.
• W2950622966 created "2019-06-27" @default.
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• W2950622966 date "2014-11-26" @default.
• W2950622966 modified "2023-09-27" @default.
• W2950622966 title "Two examples of non strictly convex large deviations" @default.
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• W2950622966 hasPublicationYear "2014" @default.
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