Some new concentration inequalities for the It\^o stochastic integral
Probability
2024-03-07 v2
Abstract
In this paper, based on the techniques of Malliavin calculus, we provide some new concentration inequalities for the running supremum of the It\^o stochastic integral with unbounded integrands. Several applications and examples are provided as well.
Keywords
Cite
@article{arxiv.2310.18699,
title = {Some new concentration inequalities for the It\^o stochastic integral},
author = {Nguyen Tien Dung},
journal= {arXiv preprint arXiv:2310.18699},
year = {2024}
}
Comments
17 pages. To appear in Bernoulli