OpenAlex | Large deviations for affine diffusion processes on<mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si1.gif" display="inline" overflow="scroll"><mml:msubsup><mml:mrow><mml:mi mathvariant="double-struck">R</mml:mi></mml:mrow><mml:mrow><mml:mo>+</mml:mo></mml:mrow><mml:mrow><mml:mi>m</mml:mi></mml:mrow></mml:msubsup><mml:mo>×</mml:mo><mml:msup><mml:mrow><mml:mi mathvariant="double-struck">R</mml:mi></mml:mrow><mml:mrow><mml:mi>n</mml:mi></mml:mrow></mml:msup></mml:math>

Large deviations for affine diffusion processes onR+m×Rn

Work

Year: 2014

Type: article

Abstract: 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 fir... more

Source: Stochastic Processes and their Applications

Authors Wanmo Kang, Chulmin Kang

Institutions National Institute for Mathematical Sciences, Korea Advanced Institute of Science and Technology

Cites: 45

Cited by: 3

Related to: 10

FWCI: 0.363

Citation percentile (by year/subfield): 71.01

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: hybrid

APC paid (est): $3,290

Funder National Research Foundation of Korea