Open AccessTail distribution of the integrated Jacobi diffusion process
Author(s) -
Nguyễn Tiến Dũng,
Trinh Nhu Quynh
Publication year - 2020
Publication title -
statistics, optimization and information computing
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.297
H-Index - 12
eISSN - 2311-004X
pISSN - 2310-5070
DOI - 10.19139/soic-2310-5070-760
Subject(s) - malliavin calculus , brownian motion , diffusion process , distribution (mathematics) , noise (video) , diffusion , mathematics , statistical physics , fractional brownian motion , computer science , calculus (dental) , mathematical analysis , physics , innovation diffusion , statistics , artificial intelligence , medicine , differential equation , knowledge management , stochastic partial differential equation , dentistry , image (mathematics) , thermodynamics
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.