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.
Citation
Stefano De Marco. Antoine Jacquier. Patrick Roome. "Two examples of non strictly convex large deviations." Electron. Commun. Probab. 21 1 - 12, 2016. https://doi.org/10.1214/16-ECP4088
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