Concentration inequalities for stochastic differential equations with additive fractional noise
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Publication:2279319
Abstract: In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval [0, T ] of an additive SDE driven by a fractional Brownian motion with Hurst parameter H (0, 1) and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process.
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Cited in
(8)- A general drift estimation procedure for stochastic differential equations with additive fractional noise
- Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion
- Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps
- Convex concentration for some additive functionals of jump stochastic differential equations
- Estimation of several parameters in discretely-observed stochastic differential equations with additive fractional noise
- Sampling effects on Lasso estimation of drift functions in high-dimensional diffusion processes
- On Lasso estimator for the drift function in diffusion models
- Consistent support recovery for high-dimensional diffusions
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