Tail distribution estimates for one-dimensional diffusion processes

TitleTail distribution estimates for one-dimensional diffusion processes
Publication TypeJournal Article
Year of Publication2019
AuthorsDung, NTien, Son, TCong
JournalJournal of Mathematical Analysis and Applications
Volume479
Pagination2119 - 2138
ISSN0022-247X
KeywordsCIR model, Diffusion process, Malliavin calculus, Tail distribution
Abstract

In this paper, we investigate the tail distribution of a fundamental class of one-dimensional diffusion processes. Based on the techniques of the Malliavin calculus, we obtain explicit estimates for tail distributions. Some examples and applications are given to illustrate the theory.

URLhttp://www.sciencedirect.com/science/article/pii/S0022247X19306055
DOI10.1016/j.jmaa.2019.07.044