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Stochastic Analysis and Applications Volume 35, 2017 - Issue 2
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Article

Large deviations for conditional Volterra processes

Federico GiorgiARPM–Advanced Risk and Portfolio Management, New York, New York, USA
&
Barbara PacchiarottiDipartimento di Matematica, Università di Roma “Tor Vergata,” Roma, ItalyCorrespondence[email protected]
Pages 191-210 | Received 21 Jul 2016, Accepted 14 Sep 2016, Published online: 28 Nov 2016

Citations (5)

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Read on this site (1)

Giulia Catalini & Barbara Pacchiarotti. (2023) Asymptotics for multifactor Volterra type stochastic volatility models. Stochastic Analysis and Applications 41:6, pages 1025-1055.
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Articles from other publishers (4)

Miriana Cellupica & Barbara Pacchiarotti. (2020) Pathwise Asymptotics for Volterra Type Stochastic Volatility Models. Journal of Theoretical Probability 34:2, pages 682-727.
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Barbara Pacchiarotti. (2020) Some Large Deviations Principles for Time-Changed Gaussian Processes. Lithuanian Mathematical Journal 60:4, pages 513-529.
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Barbara Pacchiarotti. (2020) Pathwise asymptotics for Volterra processes conditioned to a noisy version of the Brownian motion. Modern Stochastics: Theory and Applications, pages 17-41.
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Barbara Pacchiarotti & Alessandro Pigliacelli. (2018) Large deviations for conditionally Gaussian processes: estimates of level crossing probability. Modern Stochastics: Theory and Applications, pages 483-499.
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