Tail probability estimates for additive functionals. (English) Zbl 1350.60074
Summary: In this paper, based on techniques of Malliavin calculus, we obtain an explicit bound for tail probabilities of a general class of additive functionals. Applications to fractional Brownian motion and Cox-Ingersoll-Ross process are given to illustrate the theory.
MSC:
| 60J55 | Local time and additive functionals |
| 60G22 | Fractional processes, including fractional Brownian motion |
| 60H07 | Stochastic calculus of variations and the Malliavin calculus |
| 91G30 | Interest rates, asset pricing, etc. (stochastic models) |
Keywords:
tail probabilities; additive functionals; Malliavin calculus; fractional Brownian motion; Cox-Ingersoll-Ross processReferences:
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