Concentration inequalities for Stochastic Differential Equations with additive fractional noise

被引：3

作者：

Varvenne, Maylis ^{[1
]}

机构：

[1] Univ Paul Sabatier, Inst Math Toulouse, 118 Route Narbonne, F-31062 Toulouse, France

来源：

ELECTRONIC JOURNAL OF PROBABILITY | 2019年 / 24卷

关键词：

concentration inequalities; fractional Brownian motion; occupation measures; Stochastic Differential Equations; TRANSPORTATION COST;

D O I：

10.1214/19-EJP384

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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 is an element of (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.

引用

页数：22

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