activity
20102024
most citedSmoothness and asymptotic estimates of densities for SDEs with locally smooth coefficients and applications to square root-type diffusions

32 citations · 42 across the 8 of their papers we have counts for

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Showing 2014Show all

2 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…