| Tiêu đề | Tail distribution estimates for one-dimensional diffusion processes |
| Loại công bố | Journal Article |
| Năm xuất bản | 2019 |
| Tác giả | Dung, NTien, Son, TCong |
| Tạp chí | Journal of Mathematical Analysis and Applications |
| Thể tích | 479 |
| Trang | 2119 - 2138 |
| ISSN | 0022-247X |
| Từ khóa | CIR model, Diffusion process, Malliavin calculus, Tail distribution |
| Tóm tắt | 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 |