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math.PR2016
On The Distribution Tail Of Stochastic Differential Equations: The One-Dimensional Case
Sidi Mohamed Aly
This paper considers a general one-dimensional stochastic differential equation (SDE). A particular attention is given to the SDEs that may be transformed (via Ito's formula) into:…
math.PR2012
From moment explosion to the asymptotic behavior of the cumulative distribution for a random variable
Sidi Mohamed Aly
We study the Tauberian relations between the moment generating function (MGF) and the complementary cumulative distribution function of a random variable whose MGF is finite only o…