Convex concentration for some additive functionals of jump stochastic differential equations

DOI10.1007/S10114-013-2635-9MaRDI QIDQ2391994zbMATH OpenOpenAlexFDO

Authors Nicolas Privault, Yutao Ma

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

zbMATH Keywords

stochastic differential equations with jumpsinterest rate derivativestransportation-information inequalitiesconvex concentration inequalities

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Measures and integrals in product spaces (28A35)

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Cites work

• scientific article; zbMATH DE number 4067994 (Why is no real title available?)
• scientific article; zbMATH DE number 3538602 (Why is no real title available?)
• An elementary introduction to stochastic interest rate modeling.
• Bounds on option prices in point process diffusion models
• Calcul stochastique et problèmes de martingales
• Convex comparison inequalities for exponential jump-diffusion processes
• Convex comparison inequalities for non-Markovian stochastic integrals
• Convex concentration inequalities and forward-backward stochastic calculus
• Convex ordering for random vectors using predictable representation
• Diffusion processes associated with L�vy generators
• Forward-backward martingale decomposition and compactness results for additive functionals of stationary ergodic Markov processes
• Markov processes associated with certain integro-differential operators
• Spectral gap and convex concentration inequalities for birth-death processes
• Symmetric Lévy type operator
• Transportation inequalities for stochastic differential equations with jumps
• Transportation-information inequalities for Markov processes

Cited in

(9)

• Convex concentration inequalities and forward-backward stochastic calculus
• Stochastic ordering by \(g\)-expectations
• Deviation inequalities for exponential jump-diffusion processes
• Convex comparison inequalities for non-Markovian stochastic integrals
• Convex comparison inequalities for exponential jump-diffusion processes
• Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus
• Concentration inequalities for stochastic differential equations with additive fractional noise
• Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling
• Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps

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