Take the 2-minute tour ×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

hello, I would like to compute the following tail

$ \mathbb{P}\left( \left[ \int_{0}^{T} f(X_t)dt \right] >x\right) $ if $ \mathbb{P}[f(X_t)>x] = x^{-\alpha} \log(x) $

X is a Diffusion process meaning that $ dX_t = b(X_t) dW_t + c(X_t)dt $ where $W$ is a brownian motion, $b$ et $c$ are given functions\ Thanks in advance

share|improve this question
add comment

Know someone who can answer? Share a link to this question via email, Google+, Twitter, or Facebook.

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.