| Title | Tail distribution estimates for one-dimensional diffusion processes |
| Publication Type | Journal Article |
| Year of Publication | 2019 |
| Authors | Dung, NTien, Son, TCong |
| Journal | Journal of Mathematical Analysis and Applications |
| Volume | 479 |
| Pagination | 2119 - 2138 |
| ISSN | 0022-247X |
| Keywords | CIR 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. |
| URL | http://www.sciencedirect.com/science/article/pii/S0022247X19306055 |
| DOI | 10.1016/j.jmaa.2019.07.044 |