Tail distribution estimates for one-dimensional diffusion processes

DOI10.1016/J.JMAA.2019.07.044zbMATH Open1479.60163OpenAlexW2956284103WikidataQ127463058 ScholiaQ127463058MaRDI QIDQ2320182FDOQ2320182

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

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zbMATH Keywords

Malliavin calculusCIR modeldiffusion processtail distribution

Mathematics Subject Classification ID

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

Cites Work

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

Cited In (7)

• Behavior of general one-dimensional diffusion processes
• Distribution of the integral of maximum processes and applications
• Title not available (Why is that?)
• Tail probability estimates for additive functionals
• Tail estimates for exponential functionals and applications to SDEs
• Basic estimates of stability rate for one-dimensional diffusions
• The estimation of probability distribution of SDE by only one sample trajectory

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