Distribution of the integral of maximum processes and applications

DOI10.1016/j.jmaa.2018.10.076zbMath1403.60044OpenAlexW2898733767WikidataQ129024317 ScholiaQ129024317MaRDI QIDQ1633562

Nguyen Tien Dung

Publication date: 20 December 2018

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2018.10.076

zbMATH Keywords

Malliavin calculustail probabilitiesinterest rate modelsmaximum processes

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (1)

Tail distribution estimates for one-dimensional diffusion processes

Cites Work

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