Large Deviation Principles for Stochastic Volatility Models with Reflection
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Control and Optimization
Link
https://link.springer.com/content/pdf/10.1007/s00245-023-10021-5.pdf
Reference47 articles.
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3. Bo, L., Zhang, T.: Large deviations for perturbed reflected diffusion processes. Stochastics 81, 531–543 (2009)
4. Cellupica, M., Pacchiarotti, B.: Pathwise asymptotics for Volterra type stochastic volatility models. J. Theor. Probab. (2020). https://doi.org/10.1007/s10959-020-00992-4
5. Chiarini, A., Fischer, M.: On large deviations for small noise Itô processes. Adv. Appl. Probab. 46, 1126–1147 (2014)
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