@article{De:2016:10.1214/16-ECP4088,
author = {De, Marco S and Jacquier, A and Roome, P},
doi = {10.1214/16-ECP4088},
journal = {Electronic Communications in Probability},
pages = {1--12},
title = {Two examples of non strictly convex large deviations},
url = {http://dx.doi.org/10.1214/16-ECP4088},
volume = {21},
year = {2016}
}

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TY  - JOUR
AB  - We present two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by a model used in mathematical finance (the Heston model), and adds a new item to the zoology of non strictly convex large deviations.
AU  - De,Marco S
AU  - Jacquier,A
AU  - Roome,P
DO  - 10.1214/16-ECP4088
EP  - 12
PY  - 2016///
SN  - 1083-589X
SP  - 1
TI  - Two examples of non strictly convex large deviations
T2  - Electronic Communications in Probability
UR  - http://dx.doi.org/10.1214/16-ECP4088
UR  - http://hdl.handle.net/10044/1/38430
VL  - 21
ER  - 

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