Open AccessTail distribution estimates of the mixed-fractional CEV model
Author(s) -
Nguyễn Thu Hằng,
AUTHOR_ID,
Pham Thi Phuong Thuy,
AUTHOR_ID
Publication year - 2021
Publication title -
open journal of mathematical sciences
Language(s) - English
Resource type - Journals
eISSN - 2616-4906
pISSN - 2523-0212
DOI - 10.30538/oms2021.0172
Subject(s) - fractional brownian motion , mathematics , fractional calculus , distribution (mathematics) , malliavin calculus , brownian motion , brownian excursion , mathematical analysis , calculus (dental) , statistical physics , geometric brownian motion , diffusion process , physics , statistics , computer science , medicine , knowledge management , stochastic partial differential equation , innovation diffusion , dentistry , differential equation
The aim of this paper is to study the tail distribution of the CEV model driven by Brownian motion and fractional Brownian motion. Based on the techniques of Malliavin calculus and a result established recently in [ 1 ], we obtain an explicit estimate for tail distributions.