Large and moderate deviations for stochastic Volterra systems - Jacquier, Antoine; Pannier, Alexandre (Stochastic processes and their applications, 2022)
Keywords: Large deviations; Mathematics; Moderate deviations; Rough volatility; Stochastic Volterra equations; Weak convergence; Weak convergence; 60G22; 60F10; 91G20; Moderate deviations; Large deviations; Stochastic Volterra equations; Rough volatility; rough volatility; large deviations; stochastic Volterra equations; April 15 2022. 2010 Mathematics Subject Classification. 60F10 60G22 91G20 stochastic Volterra equations large deviations moderate deviations weak convergence rough volatility; weak convergence; moderate deviations