Tail distribution of the integrated Jacobi diffusion process

  • Nguyen Tien Dung
  • Trinh Nhu Quynh
Keywords: Jacobi process, Tail distribution, Malliavin calculus.


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.


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How to Cite
Dung , N. T., & Quynh, T. N. (2020). Tail distribution of the integrated Jacobi diffusion process. Statistics, Optimization & Information Computing, 8(3), 790-800. https://doi.org/10.19139/soic-2310-5070-760
Research Articles