Translator Disclaimer
2019 Concentration inequalities for Stochastic Differential Equations with additive fractional noise
Maylis Varvenne
Electron. J. Probab. 24: 1-22 (2019). DOI: 10.1214/19-EJP384

Abstract

In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval $[0,T]$ of an additive SDE driven by a fractional Brownian motion with Hurst parameter $H\in (0,1)$ and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process.

Citation

Download Citation

Maylis Varvenne. "Concentration inequalities for Stochastic Differential Equations with additive fractional noise." Electron. J. Probab. 24 1 - 22, 2019. https://doi.org/10.1214/19-EJP384

Information

Received: 15 January 2019; Accepted: 2 November 2019; Published: 2019
First available in Project Euclid: 9 November 2019

zbMATH: 07142918
MathSciNet: MR4029427
Digital Object Identifier: 10.1214/19-EJP384

Subjects:
Primary: 60E15, 60G22, 60H10

JOURNAL ARTICLE
22 PAGES


SHARE
Vol.24 • 2019
Back to Top