Open Access
2016 Two examples of non strictly convex large deviations
Stefano De Marco, Antoine Jacquier, Patrick Roome
Electron. Commun. Probab. 21: 1-12 (2016). DOI: 10.1214/16-ECP4088


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.


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Stefano De Marco. Antoine Jacquier. Patrick Roome. "Two examples of non strictly convex large deviations." Electron. Commun. Probab. 21 1 - 12, 2016.


Received: 31 January 2015; Accepted: 27 April 2016; Published: 2016
First available in Project Euclid: 4 May 2016

zbMATH: 1338.60079
MathSciNet: MR3510246
Digital Object Identifier: 10.1214/16-ECP4088

Primary: 60F10

Keywords: Gärtner-Ellis , large deviations , non-convex rate function , Stochastic processes

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