Supremum concentration inequality and modulus of continuity for sub-nth chaos processes
Consider a random field \(X\) indexed by a set \(I\). The aim is to find a concentration inequality for the variable \(\sup_tX_t\), or an estimate for the expectation of this variable. This goal is accomplished under two different sets of assumptions, by means of two different techniques. Firstly, the authors assume \[ E[\exp((X(x,y)/\delta(x,y))^{2/n})]\leq2 \] for some integer \(n\geq1\) and for a pseudo-distance \(\delta\) on \(I\) (this is called a sub-\(n\)th chaos condition), and deduce the result with a chaining argument. Secondly, they put an assumption on the iterated Malliavin derivatives of \(X\), and deduce the result by means of Malliavin's calculus. They also deduce an estimate on the modulus of continuity of \(X\).
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