Remarks on deviation inequalities for functions of infinitely divisible random vectors

DOI10.1214/AOP/1029867126zbMATH Open1017.60018OpenAlexW2087692101MaRDI QIDQ1872292FDOQ1872292

Authors: Christian Houdré 

Publication date: 6 May 2003

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1029867126

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zbMATH Keywords

Lipschitz functionsdeviation inequalitiesconcentration of measure phenomenoninfinite divisible random vectors

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Inequalities; stochastic orderings (60E15)

Cites Work

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Cited In (33)

• Improved one-sided deviation inequalities under regularity assumptions for product measures
• Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
• Limit theorems for random sums of random summands
• Poisson process Fock space representation, chaos expansion and covariance inequalities
• Statistical estimation of Lévy-type stochastic volatility models
• Asymptotic estimates for white noise distributions
• Small-time asymptotics of stopped Lévy bridges and simulation schemes with controlled bias
• The effect of estimation in high-dimensional portfolios
• Efron's monotonicity property for measures on \(\mathbb{R}^2\)
• Small-time expansions for the transition distributions of Lévy processes
• Short-time expansions for close-to-the-money options under a Lévy jump model with stochastic volatility
• Some comments on deviation inequalities for infinitely divisible random vectors
• High-order short-time expansions for ATM option prices of exponential Lévy models
• A note on the convex infimum convolution inequality
• Functional inequalities for discrete gradients and application to the geometric distribution
• Concentration inequalities for functionals of Poisson cylinder processes
• Concentration inequalities for Poisson point processes with application to adaptive intensity estimation
• On Gaussian and Bernoulli covariance representations
• Concentration for norms of infinitely divisible vectors with independent components
• Concentration inequalities for polynomials in \(\alpha\)-sub-exponential random variables
• On the concentration of measure phenomenon for stable and related random vectors.
• Concentration and deviation inequalities in infinite dimensions via covariance representations
• On the isoperimetric constant, covariance inequalities and \(L_{p}\)-Poincaré inequalities in dimension one
• Compound Poisson point processes, concentration and oracle inequalities
• Strong central limit theorem for isotropic random walks in \({\mathbb{R}^d}\)
• On operator-norm approximation of some semigroups by quasi-sectorial operators.
• Dimension free and infinite variance tail estimates on Poisson space
• A discrete log-Sobolev inequality under a Bakry-Émery type condition
• On concentration inequalities for vector-valued Lipschitz functions
• Poisson-type deviation inequalities for curved continuous-time Markov chains
• On Finite Range Stable-Type Concentration
• Median, concentration and fluctuations for Lévy processes
• Concentration inequalities for measures of a Boolean model

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