Tail probability estimates for additive functionals

DOI10.1016/J.SPL.2016.09.002zbMATH Open1350.60074OpenAlexW2520316845MaRDI QIDQ334081FDOQ334081

Authors: Tien Dung Nguyen 

Publication date: 31 October 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2016.09.002

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zbMATH Keywords

Malliavin calculusfractional Brownian motionadditive functionalstail probabilitiesCox-Ingersoll-Ross process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Local time and additive functionals (60J55) Interest rates, asset pricing, etc. (stochastic models) (91G30)

Cites Work

• The Malliavin Calculus and Related Topics
• Title not available (Why is that?)
• Density formula and concentration inequalities with Malliavin calculus
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Representation formulas for Malliavin derivatives of diffusion processes
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Concentration inequalities via Malliavin calculus with applications
• Title not available (Why is that?)
• Malliavin differentiability of the Heston volatility and applications to option pricing
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• Chung's law for homogeneous Brownian functionals

Cited In (4)

• Tail distribution estimates for one-dimensional diffusion processes
• Distribution of the integral of maximum processes and applications
• Tail estimates for exponential functionals and applications to SDEs
• Finitely additive extensions of distribution functions and moment sequences: the coherent lower prevision approach

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