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

DOI10.1287/MOOR.2015.0724MaRDI QIDQ2800372zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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

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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