Tail distribution estimates for one-dimensional diffusion processes
Tail distribution estimates for one-dimensional diffusion processes
Source title:
Journal of Mathematical Analysis and Applications, 479(2): 2119-2138,
2019
(ISI)
Academic year of acceptance:
2019-2020
Abstract:
In this paper, we investigate the tail distribution of a fundamental class of one-dimensional diffusion processes. Based on the techniques of the Malliavin calculus, we obtain explicit estimates for tail distributions. Some examples and applications are given to illustrate the theory.