Tail estimates for exponential functionals and applications to SDEs |
| |
Authors: | Tien Dung Nguyen |
| |
Institution: | Department of Mathematics, FPT University, Hoa Lac High Tech Park, Hanoi, Viet Nam |
| |
Abstract: | In this paper, based on techniques of Malliavin calculus, we obtain an explicit bound for tail probabilities of a general class of exponential functionals. We apply the obtained results to derive asymptotic behaviors for the tail of the exponential functional of stochastic differential equations. |
| |
Keywords: | 60H07 60H10 60E05 Exponential functionals Tail probabilities Malliavin calculus |
本文献已被 ScienceDirect 等数据库收录! |
|