Concentration inequalities for Stochastic Differential Equations with additive fractional noise

Maylis Varvenne

Concentration inequalities for Stochastic Differential Equations with additive fractional noise

Probability 2019-12-13 v2

Authors: Maylis Varvenne

Abstract

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 $\in$ (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.

Keywords

stochastic differential equation fractional brownian motion additive noise concentration inequalities hurst parameter occupation measures

Cite

@article{arxiv.1901.03502,
  title  = {Concentration inequalities for Stochastic Differential Equations with additive fractional noise},
  author = {Maylis Varvenne},
  journal= {arXiv preprint arXiv:1901.03502},
  year   = {2019}
}

Comments

Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), In press

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