On the large deviation principle of generalized Brownian bridges

被引：1

作者：

Yang, Xiangfeng ^{[1
]}

机构：

[1] Linkoping Univ, Dept Math, SE-58183 Linkoping, Sweden

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2015年 / 430卷 / 02期

关键词：

Large deviation principle; alpha-Brownian bridge; Rate function; EMU;

D O I：

10.1016/j.jmaa.2015.05.036

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper we consider a family of generalized Brownian bridges with a small noise, which was used by Brennan and Schwartz [3] to model the arbitrage profit in stock index futures in the absence of transaction costs. More precisely, we study the large deviation principle of these generalized Brownian bridges as the noise becomes infinitesimal. (C) 2015 Elsevier Inc. All rights reserved.

引用

页码：845 / 856

页数：12

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