Search Results - subject:"large deviation"

Most-likely-path in Asian option pricing under local voluntility models

Arguin, Louis-Pierre; Liu, Nien-Lin; Wang, Tai-Ho - In: International journal of theoretical and applied finance 21 (2018) 5, pp. 1-32

Persistent link: https://www.econbiz.de/10011903764

Large Deviations of Realized Volatility

Kanaya, Shin; Otsu, Taisuke - Cowles Foundation for Research in Economics, Yale University - 2011

financial data. We establish a large deviation principle for the realized volatility when the number of high frequency … observations in a fixed time interval increases to infinity. Our large deviation result can be used to evaluate tail probabilities … existing asymptotic theory on high frequency data. In addition, the paper contributes to the literature of large deviation …

Persistent link: https://www.econbiz.de/10009003656

Quadratic covariation estimates in non-smooth stochastic calculus

Monter, Almada; Angel, Sergio - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 343-361

Given a Brownian Motion W, in this paper we study the asymptotic behavior, as ε→0, of the quadratic covariation between f(εW) and W in the case in which f is not smooth. Among the main features discovered is that the speed of the decay in the case f∈Cα is at least polynomial in ε and not...

Persistent link: https://www.econbiz.de/10011077900

Gibbs-non-Gibbs dynamical transitions for mean-field interacting Brownian motions

den Hollander, F.; Redig, F.; van Zuijlen, W. - In: Stochastic Processes and their Applications 125 (2015) 1, pp. 371-400

independent Brownian motions. Using large deviation theory we show that there exists an explicitly computable crossover time tc∈[0 …

Persistent link: https://www.econbiz.de/10011077902

Large deviations for the boundary local time of doubly reflected Brownian motion

Forde, Martin; Kumar, Rohini; Zhang, Hongzhong - In: Statistics & Probability Letters 96 (2015) C, pp. 262-268

how and where fˆ(x;⋅,α) blows up in λ, a large-time large deviation principle (LDP) for Lt/t is established using a …

Persistent link: https://www.econbiz.de/10011115949

Moderate deviation principles for Engel’s, Sylvester’s series and Cantor’s products

Hu, Wei - In: Statistics & Probability Letters 96 (2015) C, pp. 247-254

In this paper, we obtain the moderate deviation principles for Engel’s series, Sylvester’s series and Cantor’s products, which is a complement to Zhu (2014).

Persistent link: https://www.econbiz.de/10011115961

Large deviations of mean-field stochastic differential equations with jumps

Cai, Yujie; Huang, Jianhui; Maroulas, Vasileios - In: Statistics & Probability Letters 96 (2015) C, pp. 1-9

. We study large deviation estimates of its path solution and our approach for verifying the large deviation principle is …

Persistent link: https://www.econbiz.de/10011115973

Exact upper tail probabilities of random series

Yang, Xiangfeng - In: Statistics & Probability Letters 99 (2015) C, pp. 13-19

In this paper, we obtain new estimates on upper tail probabilities of suitable random series involving a distribution having an exponential tail. These estimates are exact, and the distribution is not heavy-tailed.

Persistent link: https://www.econbiz.de/10011208322

On large deviations of extremes under power normalization

Feng, Bo; Chen, Shouquan - In: Statistics & Probability Letters 99 (2015) C, pp. 27-35

By using the theory of p-max stable laws, we study large deviations of the extremes under power normalization. The necessary and sufficient conditions for large deviations of each of the six p-max stable laws are derived.

Persistent link: https://www.econbiz.de/10011208334

Large deviation principle for some measure-valued processes

Fatheddin, Parisa; Xiong, Jie - In: Stochastic Processes and their Applications 125 (2015) 3, pp. 970-993

We establish a large deviation principle for the solutions of a class of stochastic partial differential equations with … non-Lipschitz continuous coefficients. As an application, the large deviation principle is derived for super …

Persistent link: https://www.econbiz.de/10011194152