Tail distribution estimates for one-dimensional diffusion processes

DOI10.1016/J.JMAA.2019.07.044MaRDI QIDQ2320182zbMATH OpenOpenAlexWikidataFDO

Authors Nguyen Tien Dung, Ta Cong Son

Publication date 21 August 2019

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.2019.07.044

zbMATH Keywords

Malliavin calculusCIR modeldiffusion processtail distribution

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60)

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Cites work

• Deviation inequalities and moderate deviations for estimators of parameters in an Ornstein-Uhlenbeck process with linear drift
• Distribution of the integral of maximum processes and applications
• Fundamentals of stochastic filtering
• Inequalities for differential and integral equations
• Stochastic differential equations. An introduction with applications.
• Tail estimates for exponential functionals and applications to SDEs
• Tail probability estimates for additive functionals
• The Malliavin Calculus and Related Topics

Cited in

(7)

• Distribution of the integral of maximum processes and applications
• scientific article; zbMATH DE number 4088662 (Why is no real title available?)
• The estimation of probability distribution of SDE by only one sample trajectory
• Tail estimates for exponential functionals and applications to SDEs
• Behavior of general one-dimensional diffusion processes
• Tail probability estimates for additive functionals
• Basic estimates of stability rate for one-dimensional diffusions

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