{"title":"分数CIR模型的尾部分布估计","authors":"Nguyen Thu Hang, N. V. Tan","doi":"10.25073/2588-1124/vnumap.4710","DOIUrl":null,"url":null,"abstract":"The aim of this work is to study the tail distribution of the Cox–Ingersoll–Ross (CIR) model driven by fractional Brownian motion. We first prove the existence and uniqueness of the solution. Then based on the techniques of Malliavin calculus and a result established recently in [1], we obtain an explicit estimate for tail distributions. \n ","PeriodicalId":303178,"journal":{"name":"VNU Journal of Science: Mathematics - Physics","volume":"12 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2022-09-26","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Tail Distribution Estimates of Fractional CIR Model\",\"authors\":\"Nguyen Thu Hang, N. V. Tan\",\"doi\":\"10.25073/2588-1124/vnumap.4710\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"The aim of this work is to study the tail distribution of the Cox–Ingersoll–Ross (CIR) model driven by fractional Brownian motion. We first prove the existence and uniqueness of the solution. Then based on the techniques of Malliavin calculus and a result established recently in [1], we obtain an explicit estimate for tail distributions. \\n \",\"PeriodicalId\":303178,\"journal\":{\"name\":\"VNU Journal of Science: Mathematics - Physics\",\"volume\":\"12 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2022-09-26\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"VNU Journal of Science: Mathematics - Physics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.25073/2588-1124/vnumap.4710\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"VNU Journal of Science: Mathematics - Physics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.25073/2588-1124/vnumap.4710","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Tail Distribution Estimates of Fractional CIR Model
The aim of this work is to study the tail distribution of the Cox–Ingersoll–Ross (CIR) model driven by fractional Brownian motion. We first prove the existence and uniqueness of the solution. Then based on the techniques of Malliavin calculus and a result established recently in [1], we obtain an explicit estimate for tail distributions.
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