Tail distribution of the integrated Jacobi diffusion process

Tail distribution of the integrated Jacobi diffusion process

In this paper, we study the distribution of the integrated Jacobi diffusion processes with Brownian noise and fractional Brownian noise. Based on techniques of Malliavin calculus, we develop a unified method to obtain explicit estimates for the tail distribution of these integrated diffusions.

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Veröffentlicht in:Statistics, optimization & information computing optimization & information computing, 2020-07, Vol.8 (3), p.790-800
Hauptverfasser: Dung, Nguyen Tien, Quynh, Trinh Nhu
Format: Artikel
Sprache:eng
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Zusammenfassung:In this paper, we study the distribution of the integrated Jacobi diffusion processes with Brownian noise and fractional Brownian noise. Based on techniques of Malliavin calculus, we develop a unified method to obtain explicit estimates for the tail distribution of these integrated diffusions.
ISSN:2311-004X
2310-5070
DOI:10.19139/soic-2310-5070-760