Tail estimates for exponential functionals and applications to SDEs

DOI10.1016/J.SPA.2018.02.003zbMath1417.60046OpenAlexW2794216265WikidataQ115566901 ScholiaQ115566901MaRDI QIDQ1630664

Tien Dung Nguyen

Publication date: 10 December 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2018.02.003

zbMATH Keywords

Malliavin calculustail probabilitiesexponential functionals

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (4)

Density estimates for solutions of stochastic functional differential equations ⋮ Large time behaviour of semilinear stochastic partial differential equations perturbed by a mixture of Brownian and fractional Brownian motions ⋮ Density estimates and central limit theorem for the functional of fractional SDEs ⋮ Tail distribution estimates for one-dimensional diffusion processes

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