General Freidlin-Wentzell Large Deviations and positive diffusions
AbstractWe prove Freidlin-Wentzell Large Deviation estimates under rather minimal assumptions. This allows one to derive Wentzell-Freidlin Large Deviation estimates for diffusions on the positive half line with coefficients that are neither bounded nor Lipschitz continuous. This applies to models of interest in Finance, i.e. the CIR and the CEV models, which are positive diffusion processes whose diffusion coefficient is only Hölder continuous.
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Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 81 (2011)
Issue (Month): 8 (August)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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- Robertson, Scott, 2010. "Sample path Large Deviations and optimal importance sampling for stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 66-83, January.
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