On density functions related to discrete time maximum of some one-dimensional diffusion processes

DOI10.1016/J.AMC.2022.127672MaRDI QIDQ2101959zbMATH OpenOpenAlexFDO

Authors Tomonori Nakatsu

Publication date 7 December 2022

Published in Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.amc.2022.127672

zbMATH Keywords

asymptotic behaviordiffusion processdiscrete time maximumLaplace's methodMalliavin calculusprobability density function

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Statistics of extreme values; tail inference (62G32) Numerical solutions to stochastic differential and integral equations (65C30)

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Cites work

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• Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
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• THE ASYMPTOTIC BEHAVIOUS OF A KIND OF MULTIPLE INTEGRALS INVOLVING A PARAMETER
• The Malliavin Calculus and Related Topics

Cited in

(5)

• Existence and regularity of law density of a pair (diffusion, first component running maximum)
• Some properties of density functions on maxima of solutions to one-dimensional stochastic differential equations
• Integration by parts formulas concerning maxima of some SDEs with applications to study on density functions
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• Regularity properties of densities of SDEs using the Fourier analytic approach

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