A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications
DOI10.15559/23-vmsta220zbMath1529.60038OpenAlexW4319987791MaRDI QIDQ6157632
Noriyoshi Sakuma, Ryoichi Suzuki
Publication date: 22 June 2023
Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.15559/23-vmsta220
Lévy processesMalliavin calculuslogarithmic Sobolev inequalitiesconcentration inequalitiesdeviation inequalities\( \Phi \)-Sobolev inequalities
Processes with independent increments; Lévy processes (60G51) Inequalities; stochastic orderings (60E15) Stochastic calculus of variations and the Malliavin calculus (60H07) Jump processes on general state spaces (60J76)
Cites Work
- Concentration bounds for geometric Poisson functionals: logarithmic Sobolev inequalities revisited
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Stochastic analysis in discrete and continuous settings. With normal martingales.
- Portmanteau inequalities on the Poisson space: mixed regimes and multidimensional clustering
- Canonical Lévy process and Malliavin calculus
- Stochastic analysis of Bernoulli processes
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
- A hull and white formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
- Martingale representation and a simple proof of logarithmic Sobolev inequalities on path spaces
- A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
- A unification of hypercontractivities of the Ornstein-Uhlenbeck semigroup and its connection with {\(\Phi\)}-entropy inequalities
- On the Lambert \(w\) function
- Concentration on Poisson spaces via modified \(\Phi\)-Sobolev inequalities
- Analytical approximations to the Lambert \(W\) function
- Entropies, convexity, and functional inequalities: on \(\Phi\)-entropies and \(\Phi\)-Sobolev inequalities
- Multiple Wiener integral
- Spectral Type of the Shift Transformation of Differential Processes With Stationary Increments
- Some inequalities satisfied by the quantities of information of Fisher and Shannon
- The Malliavin Calculus and Related Topics
- Logarithmic Sobolev Inequalities
- Denseness of certain smooth L\'evy functionals in $\DD_{1,2}$
- Restricted hypercontractivity on the Poisson space
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: A modified \(\Phi \)-Sobolev inequality for canonical Lévy processes and its applications