Convex concentration for some additive functionals of jump stochastic differential equations

DOI10.1007/s10114-013-2635-9zbMath1277.28004OpenAlexW2403248507MaRDI QIDQ2391994

Nicolas Privault, Yu Tao Ma

Publication date: 6 August 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-013-2635-9

zbMATH Keywords

stochastic differential equations with jumpsinterest rate derivativestransportation-information inequalitiesconvex concentration inequalities

Mathematics Subject Classification ID

Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Measures and integrals in product spaces (28A35)

Related Items (3)

Stochastic ordering by \(g\)-expectations ⋮ Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling ⋮ Wasserstein distance estimates for stochastic integrals by forward-backward stochastic calculus

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