Deviation inequalities for exponential jump-diffusion processes

MaRDI QIDQ3077868zbMATH OpenFDO

Authors Benjamin Laquerrière, Nicolas Privault

Publication date 22 February 2011

zbMATH Keywords

deviation inequalitiesexponential jump-diffusion processforward/backward stochastic calculus

Mathematics Subject Classification ID

Functional inequalities, including subadditivity, convexity, etc. (39B62) Limit theorems in probability theory (60F99) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(5)

• Explicit Rates of Exponential Convergence for Reflected Jump-Diffusions on the Half-Line
• Convex comparison inequalities for exponential jump-diffusion processes
• Deviation inequalities for stochastic differential equations with jumps
• A new Poisson-type deviation inequality for Markov jump processes with positive Wasserstein curvature
• Convex concentration inequalities and forward-backward stochastic calculus

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