کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1156675 958855 2014 40 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Large deviations for affine diffusion processes on R+m×Rn
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Large deviations for affine diffusion processes on R+m×Rn
چکیده انگلیسی

This paper proves the large deviation principle for affine diffusion processes with initial values in the interior of the state space R+m×Rn. We approach this problem in two different ways. In the first approach, we first prove the large deviation principle for finite dimensional distributions, and then use it to establish the sample path large deviation principle. For this approach, a more careful examination of the affine transform formula is required. The second approach exploits the exponential martingale method of Donati-Martin et al. for the squares of Ornstein–Uhlenbeck processes. We provide an application to importance sampling of affine diffusion models.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 124, Issue 6, June 2014, Pages 2188–2227
نویسندگان
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