Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps

DOI10.1016/J.SPA.2020.05.017MaRDI QIDQ2196555zbMATHOpenAlexWikidataFDO

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

zbMATH Keywords

Malliavin calculuspoint processesconcentration inequalitiesstochastic differential equationstransportation cost inequalities

Mathematics Subject Classification ID

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)

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• Transportation inequalities for stochastic differential equations of pure jumps
• Transportation inequalities for stochastic differential equations with jumps
• Transportation inequalities: from Poisson to Gibbs measures

Cited in

(8)

• Concentration inequalities for stochastic differential equations with additive fractional noise
• Talagrand concentration inequalities for stochastic heat-type equations under uniform distance
• A concentration inequality for inhomogeneous Neyman-Scott point processes
• Convex concentration for some additive functionals of jump stochastic differential equations
• Modified log-Sobolev inequality for a compact pure jump Markov process with degenerate jumps
• Deviation inequalities for exponential jump-diffusion processes
• Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
• Deviation inequalities for stochastic differential equations with jumps

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