3 papers
math.PR2020
Itô differential representation of singular stochastic Volterra integral equations
Nguyen Tien Dung
In this paper we obtain an Itô differential representation for a class of singular stochastic Volterra integral equations. As an application, we investigate the rate of convergence…
math.PR2019
Kolmogorov distance between the exponential functionals of fractional Brownian motion
Nguyen Tien Dung
In this note, we investigate the continuity in law with respect to the Hurst index of the exponential functional of the fractional Brownian motion. Based on the techniques of Malli…
math.PR2019
Gaussian lower bounds for the density via Malliavin calculus
Nguyen Tien Dung
In this paper, based on a known formula, we use a simple idea to get a new representation for the density of Malliavin differentiable random variables. This new representation is p…