Convex comparison inequalities for exponential jump-diffusion processes

MaRDI QIDQ3462067zbMATH OpenFDO

Authors Jean-Christophe Breton, Nicolas Privault

Publication date 4 January 2016

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Martingales with continuous parameter (60G44) Stochastic integrals (60H05)

Recommendations

• Convex comparison inequalities for non-Markovian stochastic integrals
• Convex concentration inequalities and forward-backward stochastic calculus
• Comparison of option prices in semimartingale models
• Deviation inequalities for exponential jump-diffusion processes
• Convex concentration for some additive functionals of jump stochastic differential equations

Cited in

(5)

• Convex concentration inequalities and forward-backward stochastic calculus
• Deviation inequalities for exponential jump-diffusion processes
• Convex comparison inequalities for non-Markovian stochastic integrals
• Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
• Convex concentration for some additive functionals of jump stochastic differential equations

This page was built for publication: Convex comparison inequalities for exponential jump-diffusion processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3462067)