Tail estimates for exponential functionals and applications to SDEs

Tien Dung Nguyen

Stochastic Processes and their Applications, 2018, vol. 128, issue 12, 4154-4170

Abstract: In this paper, based on techniques of Malliavin calculus, we obtain an explicit bound for tail probabilities of a general class of exponential functionals. We apply the obtained results to derive asymptotic behaviors for the tail of the exponential functional of stochastic differential equations.

Keywords: Exponential functionals; Tail probabilities; Malliavin calculus (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1016/j.spa.2018.02.003

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