Results 11 to 20 of about 1,443,825 (234)
Moderate deviations of functional of Markov Processes [PDF]
ESAIM: Proceedings, 2014 Summary: This paper presents recent developments on the principle of moderate deviations for some classes of dependent random variables.
Bitseki Penda, Valère +4 more
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Large deviations, moderate deviations, and the KLS conjecture [PDF]
Journal of Functional Analysis, 2021 22 ...
Alonso Gutiérrez, David +2 more
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Option pricing in the moderate deviations regime [PDF]
Mathematical Finance, 2017 AbstractWe consider call option prices close to expiry in diffusion models, in an asymptotic regime (“moderately out of the money”) that interpolates between the well‐studied cases of at‐the‐money and out‐of‐the‐money regimes. First and higher order small‐time moderate deviation estimates of call prices and implied volatilities are obtained.
Friz, Peter K. +2 more
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Pathwise Moderate Deviations for Option Pricing [PDF]
SSRN Electronic Journal, 2018 AbstractWe provide a unifying treatment of pathwise moderate deviations for models commonly used in financial applications, and for related integrated functionals. Suitable scaling enables us to transfer these results into small‐time, large‐time, and tail asymptotics for diffusions, as well as for option prices and realized variances.
Jacquier, A, Spiliopoulos, K
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Moderate Deviations for Student's Statistic
Theory of Probability & Its Applications, 2002 Summary: For self-normalized sums, say \(S_{n}/V_{n}\), under symmetry conditions we consider Linnik-type zones, where the ratio \(\mathbf{P}\{S_n/V_n\geq x\}/(1-\Phi(x))\) converges to 1, and establish optimal bounds for remainder terms related to this convergence.
Chistyakov, Gennadiy, Götze, Friedrich
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Moderate deviations for Markov chains with atom [PDF]
Stochastic Processes and their Applications, 2001 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Djellout, H., Guillin, A.
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Moderate Deviations via Cumulants [PDF]
Journal of Theoretical Probability, 2012 The purpose of the present paper is to establish moderate deviation principles for a rather general class of random variables fulfilling certain bounds of the cumulants. We apply a celebrated lemma of the theory of large deviations probabilities due to Rudzkis, Saulis and Statulevicius. The examples of random objects we treat include dependency graphs,
Döring, Hanna, Eichelsbacher, Peter
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Impact of the Angles of the Septal Deviation on the Degree of the Mastoid Pneumatization [PDF]
Iranian Journal of Otorhinolaryngology, 2020 Introduction: The aim was to explore the developmental relationships between the angles of septal deviations and the degree of the mastoid pneumatization.
Mustafa Çelik +4 more
doaj +1 more source
Some examples of noncentral moderate deviations for sequences of real random variables
Modern Stochastics: Theory and Applications, 2023 The term moderate deviations is often used in the literature to mean a class of large deviation principles that, in some sense, fills the gap between a convergence in probability to zero (governed by a large deviation principle) and a weak convergence to
Rita Giuliano, Claudio Macci
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Large and moderate deviation principles for nonparametric recursive kernel distribution estimators defined by stochastic approximation method [PDF]
Opuscula Mathematica, 2019 In this paper we prove large and moderate deviations principles for the recursive kernel estimators of a distribution function defined by the stochastic approximation algorithm. We show that the estimator constructed using the stepsize which minimize the
Yousri Slaoui
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