On the tail probabilities of aggregated lognormal random fields with small noise

DOI10.1287/MOOR.2015.0724zbMATH Open1336.60100OpenAlexW1882822775MaRDI QIDQ2800372FDOQ2800372

Authors: Xiaoou Li, Jingchen Liu, Gongjun Xu 

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bb53a013c1e22401e2f6825f04709c004f9090ac

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zbMATH Keywords

exponential integralGaussian processchange of measuretail probabilitieslognormal random fieldsshort-term portfolio risk analysis

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Portfolio theory (91G10) Limit theorems in probability theory (60F99) Financial applications of other theories (91G80)

Cites Work

• The integral of geometric Brownian motion
• On some exponential functionals of Brownian motion
• The Brunn-Minkowski inequality in Gauss space
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Tail approximations of integrals of Gaussian random fields
• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Variance Reduction Techniques for Estimating Value-at-Risk
• On sums of conditionally independent subexponential random variables
• Portfolio selection in a lognormal securities market
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• Asymptotic behavior of tail density for sum of correlated lognormal variables
• On the density functions of integrals of Gaussian random fields

Cited In (3)

• Uniformly efficient simulation for extremes of Gaussian random fields
• Tail behavior of sums and differences of log-normal random variables
• Moderate deviation for random elliptic PDE with small noise

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