Uniform concentration inequality for ergodic diffusion processes

DOI10.1016/j.spa.2006.10.008zbMath1117.60026OpenAlexW2038977693MaRDI QIDQ886111

Serguei Pergamenchtchikov, Leonid I. Galtchouk

Publication date: 26 June 2007

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2006.10.008

zbMATH Keywords

concentration inequalityergodic diffusion processestail distributionupper exponential bound

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Large deviations (60F10)

Related Items (7)

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Cites Work

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• A new covariance inequality and applications.
• Exponential inequalities and estimation of conditional probabilities
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• On large deviations for diffusion processes with measurable coefficients
• Some applications of concentration inequalities to statistics

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