We prove Freidlin-Wentzell Large Deviation estimates under rather minimal assumptions. This allows to derive Wentzell-Freidlin Large Deviation estimates for diffusions on the positive half line with coefficients that are neither bounded nor Lipschitz continuous, in particular for the CIR and the CEV models.
Baldi, P., Caramellino, L. (2011). General Freidlin–Wentzell Large Deviations and positive diffusions. STATISTICS & PROBABILITY LETTERS, 81(8), 1218-1229 [10.1016/j.spl.2011.03.020].
General Freidlin–Wentzell Large Deviations and positive diffusions
BALDI, PAOLO;CARAMELLINO, LUCIA
2011-01-01
Abstract
We prove Freidlin-Wentzell Large Deviation estimates under rather minimal assumptions. This allows to derive Wentzell-Freidlin Large Deviation estimates for diffusions on the positive half line with coefficients that are neither bounded nor Lipschitz continuous, in particular for the CIR and the CEV models.File in questo prodotto:
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