Uniform concentration inequality for ergodic diffusion processes observed at discrete times

DOI10.1016/j.spa.2012.09.004zbMath1266.60139arXiv1109.3406OpenAlexW2023518586MaRDI QIDQ1761486

Serguei Pergamenchtchikov, Leonid I. Galtchouk

Publication date: 15 November 2012

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1109.3406

zbMATH Keywords

Markov chainsConcentration inequalityErgodic diffusion processesGeometric ergodicityTail distributionUpper exponential bound

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Inference from stochastic processes (62M99) Diffusion processes (60J60)

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