Some new concentration inequalities for the Itô stochastic integral

DOI10.3150/24-bej1746MaRDI QIDQ6632624

Nguyen Tien Dung

Publication date: 5 November 2024

Published in: Bernoulli (Search for Journal in Brave)

zbMATH Keywords

Malliavin calculusconcentration inequalityItô stochastic integral

Mathematics Subject Classification ID

Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Unnamed Item
• Estimates of moments and tails of Gaussian chaoses
• Dimension free and infinite variance tail estimates on Poisson space
• Tail behaviour of multiple random integrals and \(U\)-statistics
• The Malliavin Calculus and Related Topics
• Random Fields and Geometry
• Malliavin differentiability of the Heston volatility and applications to option pricing

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