Tail probability estimates for additive functionals

DOI10.1016/j.spl.2016.09.002zbMath1350.60074OpenAlexW2520316845MaRDI QIDQ334081

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

zbMATH Keywords

fractional Brownian motionMalliavin calculusadditive functionalstail probabilitiesCox-Ingersoll-Ross process

Mathematics Subject Classification ID

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

Related Items (3)

Tail estimates for exponential functionals and applications to SDEs ⋮ Distribution of the integral of maximum processes and applications ⋮ Tail distribution estimates for one-dimensional diffusion processes

Cites Work

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• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• The density of solutions to multifractional stochastic Volterra integro-differential equations
• Chung's law for homogeneous Brownian functionals
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• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Representation formulas for Malliavin derivatives of diffusion processes
• Concentration inequalities via Malliavin calculus with applications
• The Malliavin Calculus and Related Topics
• Malliavin differentiability of the Heston volatility and applications to option pricing

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