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2015 Concentration inequalities via Malliavin calculus with applications
John Treilhard, Abdol-Reza Mansouri
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Electron. Commun. Probab. 20: 1-14 (2015). DOI: 10.1214/ECP.v20-3931


We use the Malliavin calculus to prove a new abstract concentration inequality result for zero mean, Malliavin differentiable random variables which admit densities. We demonstrate the applicability of the result by deriving two new concrete concentration inequalities, one relating to an integral functional of a fractional Brownian motion process, and the other relating to the centered maximum of a finite sum of Normal random variables. These concentration inequalities are, to the best of our knowledge, largely unattainable via existing methods other than those which are the subject of this paper.


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John Treilhard. Abdol-Reza Mansouri. "Concentration inequalities via Malliavin calculus with applications." Electron. Commun. Probab. 20 1 - 14, 2015.


Accepted: 8 May 2015; Published: 2015
First available in Project Euclid: 7 June 2016

zbMATH: 06473035
MathSciNet: MR3352331
Digital Object Identifier: 10.1214/ECP.v20-3931

Primary: 60H07
Secondary: 60G22

Keywords: Concentration inequalities , fractional Brownian motion , Malliavin calculus

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