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Tail probability estimates for additive functionals

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  • Dung, Nguyen Tien

Abstract

In this paper, based on techniques of Malliavin calculus, we obtain an explicit bound for tail probabilities of a general class of additive functionals. Applications to fractional Brownian motion and Cox–Ingersoll–Ross process are given to illustrate the theory.

Suggested Citation

  • Dung, Nguyen Tien, 2016. "Tail probability estimates for additive functionals," Statistics & Probability Letters, Elsevier, vol. 119(C), pages 349-356.
    • Handle: RePEc:eee:stapro:v:119:y:2016:i:c:p:349-356
    DOI: 10.1016/j.spl.2016.09.002
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    References listed on IDEAS

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    1. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Representation formulas for Malliavin derivatives of diffusion processes," Finance and Stochastics, Springer, vol. 9(3), pages 349-367, July.
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    Cited by:

    1. Nguyen, Tien Dung, 2018. "Tail estimates for exponential functionals and applications to SDEs," Stochastic Processes and their Applications, Elsevier, vol. 128(12), pages 4154-4170.

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