Tail estimates for exponential functionals and applications to SDEs

DOI10.1016/J.SPA.2018.02.003MaRDI QIDQ1630664zbMATH OpenOpenAlexWikidataFDO

Authors Tien Dung Nguyen

Publication date 10 December 2018

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spa.2018.02.003

zbMATH Keywords

exponential functionalsMalliavin calculustail probabilities

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• A Malliavin calculus method to study densities of additive functionals of SDE's with irregular drifts
• An interest rate model with upper and lower bounds
• Density formula and concentration inequalities with Malliavin calculus
• Estimates for the density of functionals of SDEs with irregular drift
• Exponential functionals of Brownian motion and related processes
• Exponential functionals of Brownian motion. I: Probability laws at fixed time
• Exponential functionals of Brownian motion. II: Some related diffusion processes
• Exponential functionals of Lévy processes
• Finite-time blowup and existence of global positive solutions of a semi-linear stochastic partial differential equation with fractional noise
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1153603 (Why is no real title available?)
• Numerical simulation of a strongly nonlinear Ait-Sahalia-type interest rate model
• On certain Markov processes attached to exponential functionals of Brownian motion; application to Asian options
• Representation formulas for Malliavin derivatives of diffusion processes
• Tail probabilities of solutions to a generalized Ait-Sahalia interest rate model
• Tail probability estimates for additive functionals
• The Malliavin Calculus and Related Topics

Cited in

(13)

• Tail estimates for the Brownian excursion area and other Brownian areas
• Exponential divergence estimates and heat kernel tail.
• Density estimates for solutions of stochastic functional differential equations
• Estimates on the tail probabilities of subordinators and applications to general time fractional equations
• Tail distribution estimates for one-dimensional diffusion processes
• Tail asymptotics for exponential functionals of Lévy processes
• Tail probability estimates for additive functionals
• scientific article; zbMATH DE number 404335 (Why is no real title available?)
• scientific article; zbMATH DE number 7148146 (Why is no real title available?)
• Density estimates and central limit theorem for the functional of fractional SDEs
• Large time behaviour of semilinear stochastic partial differential equations perturbed by a mixture of Brownian and fractional Brownian motions
• Estimates for exponential functionals of continuous Gaussian processes with emphasis on fractional Brownian motion
• Blowup probability of positive solutions of a semilinear SPDE driven by a rough Gaussian noise

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