Concentration inequalities for stochastic differential equations with additive fractional noise

DOI10.1214/19-EJP384zbMath1427.60065arXiv1901.03502OpenAlexW2910246619MaRDI QIDQ2279319

Maylis Varvenne

Publication date: 12 December 2019

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1901.03502

zbMATH Keywords

fractional Brownian motionstochastic differential equationsconcentration inequalitiesoccupation measures

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Related Items (2)

A general drift estimation procedure for stochastic differential equations with additive fractional noise ⋮ Adaptive estimation of the stationary density of a stochastic differential equation driven by a fractional Brownian motion

Cites Work

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