Convex concentration for some additive functionals of jump stochastic differential equations
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Publication:2391994
DOI10.1007/s10114-013-2635-9zbMath1277.28004MaRDI QIDQ2391994
Publication date: 6 August 2013
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-013-2635-9
stochastic differential equations with jumps; interest rate derivatives; transportation-information inequalities; convex concentration inequalities
60G15: Gaussian processes
60E15: Inequalities; stochastic orderings
28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.)
28A35: Measures and integrals in product spaces
Related Items
Stochastic ordering by \(g\)-expectations, Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus, Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
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