Tail probability estimates for additive functionals

DOI10.1016/J.SPL.2016.09.002MaRDI QIDQ334081zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1850753 (Why is no real title available?)
• Asymptotic behavior of the stock price distribution density and implied volatility in stochastic volatility models
• Chung's law for homogeneous Brownian functionals
• Concentration inequalities via Malliavin calculus with applications
• Density formula and concentration inequalities with Malliavin calculus
• Gaussian estimates for the solutions of some one-dimensional stochastic equations
• Malliavin differentiability of the Heston volatility and applications to option pricing
• Representation formulas for Malliavin derivatives of diffusion processes
• The Malliavin Calculus and Related Topics
• The density of solutions to multifractional stochastic Volterra integro-differential equations

Cited in

(4)

• Distribution of the integral of maximum processes and applications
• Tail distribution estimates for one-dimensional diffusion processes
• 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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