Large and moderate deviations for stochastic Volterra systems

Antoine Jacquier and Alexandre Pannier

Stochastic Processes and their Applications, 2022, vol. 149, issue C, 142-187

Abstract: We provide a unified treatment of pathwise large and moderate deviations principles for a general class of multidimensional stochastic Volterra equations with singular kernels, not necessarily of convolution form. Our methodology is based on the weak convergence approach by Budhiraja and Dupuis (2019); Dupuis and Ellis (1997). We show in particular how this framework encompasses most rough volatility models used in mathematical finance, yields pathwise moderate deviations for the first time and generalises many recent results in the literature.

Keywords: Stochastic Volterra equations; Large deviations; Moderate deviations; Weak convergence; Rough volatility (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spa.2022.03.017

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