On the Tail Probabilities of Aggregated Lognormal Random Fields with Small Noise

DOI10.1287/moor.2015.0724zbMath1336.60100OpenAlexW1882822775MaRDI QIDQ2800372

Jingchen Liu, Gongjun Xu, Xiaoou Li

Publication date: 15 April 2016

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bb53a013c1e22401e2f6825f04709c004f9090ac

zbMATH Keywords

exponential integralGaussian processtail probabilitieschange of measurelognormal random fieldsshort-term portfolio risk analysis

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Financial applications of other theories (91G80) Portfolio theory (91G10) Limit theorems in probability theory (60F99)

Related Items (2)

Moderate deviation for random elliptic PDE with small noise ⋮ Uniformly efficient simulation for extremes of Gaussian random fields

Cites Work

• Tail approximations of integrals of Gaussian random fields
• Some asymptotic results of Gaussian random fields with varying mean functions and the associated processes
• Asymptotics of sums of lognormal random variables with Gaussian copula
• Asymptotic behavior of tail density for sum of correlated lognormal variables
• The Brunn-Minkowski inequality in Gauss space
• On the conditional distributions and the efficient simulations of exponential integrals of Gaussian random fields
• The integral of geometric Brownian motion
• On the Density Functions of Integrals of Gaussian Random Fields
• Variance Reduction Techniques for Estimating Value-at-Risk
• On Sums of Conditionally Independent Subexponential Random Variables
• On some exponential functionals of Brownian motion
• Portfolio selection in a lognormal securities market

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