Tail distribution of the integrated Jacobi diffusion process

  • Nguyen Tien Dung
  • Trinh Nhu Quynh
DOI: https://doi.org/10.19139/soic-2310-5070-760
Keywords: Jacobi process, Tail distribution, Malliavin calculus.

Abstract

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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Published
2020-07-01
How to Cite
Dung , N. T., & Quynh, T. N. (2020). Tail distribution of the integrated Jacobi diffusion process. Statistics, Optimization & Information Computing, 8(3), 790-800. https://doi.org/10.19139/soic-2310-5070-760
Issue
Vol 8 No 3 (2020)
Section
Research Articles
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