Stefano De Marco, Antoine Jacquier, Patrick Roome
Published 2014-11-26Version 1
We present here two examples of a large deviations principle where the rate function is not strictly convex. This is motivated by an example from mathematical finance, and adds a new item to the zoology of non strictly convex large deviations. For one of these examples, we also show that the rate function of the Cramer-type of large deviations coincides with that of the Freidlin-Wentzell when contraction principles are applied.
Large Deviations Principle by viscosity solutions: the case of diffusions with oblique Lipschitz reflections
Large deviations principle for Curie-Weiss models with random fields
Large deviations principle for the largest eigenvalue of the Gaussian beta-ensemble at high temperature
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