32 citations · 42 across the 8 of their papers we have counts for
Showing math.PRShow all
3 papers · 1 filter
math.PR2014
Two examples of non strictly convex large deviations
Stefano De Marco, Antoine Jacquier, Patrick Roome
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)…
math.PR2014
On small-noise equations with degenerate limiting system arising from volatility models
Giovanni Conforti, Stefano De Marco, Jean-Dominique Deuschel
The one-dimensional SDE with non Lipschitz diffusion coefficient is widely studied in mathematical finance. Several works…
math.PR2011★ 32 cited
Smoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions
Stefano De Marco
We study smoothness of densities for the solutions of SDEs whose coefficients are smooth and nondegenerate only on an open domain . We prove that a smooth density exists on …