Dimension free and infinite variance tail estimates on Poisson space

DOI10.1007/S10440-007-9084-3MaRDI QIDQ884754zbMATH OpenOpenAlexFDO

Authors Jean-Christophe Breton, Christian Houdré, Nicolas Privault

Publication date 7 June 2007

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0412346

zbMATH Keywords

ConcentrationInfinite divisibilityLarge deviationsOrnstein-Uhlenbeck semi-groupPoisson spaceQuadratic Wiener functionalsStable laws

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Limit theorems in probability theory (60F99) Random measures (60G57)

Abstract: Concentration inequalities are obtained on Poisson space, for random functionals with finite or infinite variance. In particular, dimension free tail estimates and exponential integrability results are given for the Euclidean norm of vectors of independent functionals. In the finite variance case these results are applied to infinitely divisible random variables such as quadratic Wiener functionals, including L'evy's stochastic area and the square norm of Brownian paths. In the infinite variance case, various tail estimates such as stable ones are also presented.

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Cited in

(12)

• A concentration inequality for inhomogeneous Neyman-Scott point processes
• Concentration inequalities for polynomials in \(\alpha\)-sub-exponential random variables
• Log-Hessian and deviation bounds for Markov semi-groups, and regularization effect in \(\mathbb{L}^1 \)
• On Finite Range Stable-Type Concentration
• A New Tempered Stable Distribution and Its Application to Finance
• Concentration inequalities for measures of a Boolean model
• Restricted hypercontractivity on the Poisson space
• U-Statistics in Stochastic Geometry
• Strong central limit theorem for isotropic random walks in \({\mathbb{R}^d}\)
• Some new concentration inequalities for the Itô stochastic integral
• Exponential inequalities and laws of the iterated logarithm for multiple Poisson-Wiener integrals and Poisson U-statistics
• Concentration inequalities for Poisson U-statistics

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