Imperial College London
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ProfessorJackJacquier

Faculty of Natural Sciences, Department of Mathematics

Professor of Mathematics
 
 
 
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Contact

 

+44 (0)20 7594 8569a.jacquier Website

 
 
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Location

 

804Weeks BuildingSouth Kensington Campus

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Summary

 

Publications

Citation

BibTex format

@article{Jacquier:2022:10.1016/j.spa.2022.03.017,
author = {Jacquier, A and Pannier, A},
doi = {10.1016/j.spa.2022.03.017},
journal = {Stochastic Processes and their Applications},
pages = {142--187},
title = {Large and moderate deviations for stochastic Volterra systems},
url = {http://dx.doi.org/10.1016/j.spa.2022.03.017},
volume = {149},
year = {2022}
}
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RIS format (EndNote, RefMan)

TY  - JOUR
AB  - We provide a unified treatment of pathwise Large and Moderate deviationsprinciples for a general class of multidimensional stochastic Volterraequations with singular kernels, not necessarily of convolution form. Ourmethodology is based on the weak convergence approach by Budhijara, Dupuis and Ellis. We show in particular how this framework encompasses most rough volatility models used in mathematical finance and generalises many recent results in the literature.
AU  - Jacquier,A
AU  - Pannier,A
DO  - 10.1016/j.spa.2022.03.017
EP  - 187
PY  - 2022///
SN  - 0304-4149
SP  - 142
TI  - Large and moderate deviations for stochastic Volterra systems
T2  - Stochastic Processes and their Applications
UR  - http://dx.doi.org/10.1016/j.spa.2022.03.017
UR  - http://arxiv.org/abs/2004.10571v2
UR  - http://hdl.handle.net/10044/1/96704
VL  - 149
ER  -
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