Distribution of the integral of maximum processes and applications

DOI10.1016/J.JMAA.2018.10.076MaRDI QIDQ1633562zbMATH OpenOpenAlexWikidataFDO

Authors Nguyen Tien Dung

Publication date 20 December 2018

Published in Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmaa.2018.10.076

zbMATH Keywords

interest rate modelsMalliavin calculusmaximum processestail probabilities

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

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Cites work

• A diffusion-type process with a given joint law for the terminal level and supremum at an independent exponential time
• Density estimates for solutions to one dimensional backward SDE's
• Density formula and concentration inequalities with Malliavin calculus
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• Level Sets and Extrema of Random Processes and Fields
• Moments of gamma type and the Brownian supremum process area
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• ON ONE-DIMENSIONAL STOCHASTIC DIFFERENTIAL EQUATIONS INVOLVING THE MAXIMUM PROCESS
• Optimal stopping problems in diffusion-type models with running maxima and drawdowns
• Random Fields and Geometry
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• Tail estimates for the Brownian excursion area and other Brownian areas
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Tail probability estimates for additive functionals
• The density of the solution to the stochastic transport equation with fractional noise
• The integral of geometric Brownian motion
• The Integral of the Supremum Process of Brownian Motion
• The Malliavin Calculus and Related Topics

Cited in

(9)

• Joint distributions of the maximum and the process for higher-order diffusions.
• Closed-form solutions for the probability distribution of time-variant maximal value processes for some classes of Markov processes
• Tail distribution estimates for one-dimensional diffusion processes
• Tail probability estimates for additive functionals
• scientific article; zbMATH DE number 1936534 (Why is no real title available?)
• The exact distribution of the maximizing point of the two-sample empirical process
• Exponential inequalities for the distribution tails of multiple stochastic integrals with respect to Gaussian integrating processes
• Prelimit and limit generalizations of the Pollaczek–Khinchin formula
• On maxima of chi-processes over threshold dependent grids

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