Tail distribution estimates for one-dimensional diffusion processes

被引：0

作者：

Nguyen Tien Dung ^{[1
,2
]}

Ta Cong Son ^{[3
]}

机构：

[1] Ton Duc Thang Univ, Inst Computat Sci, Div Computat Math & Engn, Ho Chi Minh City, Vietnam

[2] Ton Duc Thang Univ, Fac Math & Stat, Ho Chi Minh City, Vietnam

[3] Hanoi Univ Sci, Dept Math, 334 Nguyen Trai, Hanoi, Vietnam

来源：

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS | 2019年 / 479卷 / 02期

关键词：

Diffusion process; Tail distribution; Malliavin calculus; CIR model;

D O I：

10.1016/j.jmaa.2019.07.044

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

In this paper, we investigate the tail distribution of a fundamental class of one-dimensional diffusion processes. Based on the techniques of the Malliavin calculus, we obtain explicit estimates for tail distributions. Some examples and applications are given to illustrate the theory. (C) 2019 Elsevier Inc. All rights reserved.

引用

页码：2119 / 2138

页数：20

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