Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps
DOI10.1016/J.SPA.2020.05.017zbMATH Open1454.60065OpenAlexW3033214733WikidataQ115341134 ScholiaQ115341134MaRDI QIDQ2196555FDOQ2196555
Authors: Giovanni Luca Torrisi 
Publication date: 3 September 2020
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2020.05.017
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Malliavin calculuspoint processesconcentration inequalitiesstochastic differential equationstransportation cost inequalities
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic calculus of variations and the Malliavin calculus (60H07) Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
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- Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
Cited In (8)
- Modified log-Sobolev inequality for a compact pure jump Markov process with degenerate jumps
- A concentration inequality for inhomogeneous Neyman-Scott point processes
- Deviation inequalities for exponential jump-diffusion processes
- Deviation inequalities for stochastic differential equations with jumps
- Talagrand concentration inequalities for stochastic heat-type equations under uniform distance
- Convex concentration for some additive functionals of jump stochastic differential equations
- Concentration inequalities for stochastic differential equations with additive fractional noise
- Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
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