Tail Distribution Estimates of Fractional CIR Model
نویسندگان
چکیده
The aim of this work is to study the tail distribution Cox–Ingersoll–Ross (CIR) model driven by fractional Brownian motion. We first prove existence and uniqueness solution. Then based on techniques Malliavin calculus a result established recently in [1], we obtain an explicit estimate for distributions.
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ژورنال
عنوان ژورنال: VNU Journal of Science: Mathematics - Physics
سال: 2022
ISSN: ['2588-1124', '2615-9341']
DOI: https://doi.org/10.25073/2588-1124/vnumap.4710