Median, Concentration and Fluctuation for L\'evy Processes
Probability
2007-05-23 v1
Abstract
We estimate a median of where is a Lipschitz function, is a L\'evy process and an arbitrary time. This leads to concentration inequalities for . In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular behavior in small time and a, possibly different, regular behavior in large time.
Keywords
Cite
@article{arxiv.math/0607022,
title = {Median, Concentration and Fluctuation for L\'evy Processes},
author = {C. Houdré and P. Marchal},
journal= {arXiv preprint arXiv:math/0607022},
year = {2007}
}