Convex Concentration for Some Additive Functionals of Jump Stochastic Differential Equations

被引：0

作者：

Yutao MA ^{[1
]}

Nicolas PRIVAULT ^{[2
]}

机构：

[1] School of Mathematical Sciences and Laboratory for Mathematics and Complex Systems,Beijing Normal University

[2] School of Physical and Mathematical Sciences,Nanyang Technological

来源：

Acta Mathematica Sinica | 2013年 / 29卷 / 08期

关键词：

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

摘要：

Using forward-backward stochastic calculus, we prove convex concentration inequalities for some additive functionals of the solution of stochastic differential equations with jumps admitting an invariant probability measure. As a consequence, transportation-information inequalities are obtained and bounds on option prices for interest rate derivatives are given as an application.

引用

页码：1449 / 1458

页数：10

共 50 条

[1] Convex concentration for some additive functionals of jump stochastic differential equations
Ma, Yutao
Privault, Nicolas
ACTA MATHEMATICA SINICA-ENGLISH SERIES, 2013, 29 (08) : 1449 - 1458
[2] Convex Concentration for Some Additive Functionals of Jump Stochastic Differential Equations
Yutao MA
Nicolas PRIVAULT
Acta Mathematica Sinica,English Series, 2013, (08) : 1449 - 1458
[3] Convex concentration for some additive functionals of jump stochastic differential equations
Yutao Ma
Nicolas Privault
Acta Mathematica Sinica, English Series, 2013, 29 : 1449 - 1458
[4] Rate of convergence of approximations of some convex functionals of stochastic differential equations
Schurz, H
NOISE AND FLUCTUATIONS IN ECONOPHYSICS AND FINANCE, 2005, 5848 : 274 - 290
[5] Solutions of stochastic partial differential equations as extremals of convex functionals
Gyöngy, I
Martínez, T
ACTA MATHEMATICA HUNGARICA, 2005, 109 (1-2) : 127 - 145
[6] Solutions of stochastic partial differential equations as extremals of convex functionals
István Gyöngy
Teresa Martínez
Acta Mathematica Hungarica, 2005, 109 : 127 - 145
[7] Limit theorems for additive functionals of stochastic functional differential equations with infinite delay
Wang, Ya
Wu, Fuke
Zhu, Chao
JOURNAL OF DIFFERENTIAL EQUATIONS, 2022, 308 : 421 - 454
[8] Concentration inequalities for Stochastic Differential Equations with additive fractional noise
Varvenne, Maylis
ELECTRONIC JOURNAL OF PROBABILITY, 2019, 24
[9] Path independence of additive functionals for stochastic differential equations under G-framework
Ren, Panpan
Yang, Fen-Fen
FRONTIERS OF MATHEMATICS IN CHINA, 2019, 14 (01) : 135 - 148
[10] Path independence of the additive functionals for McKean-Vlasov stochastic differential equations with jumps
Qiao, Huijie
Wu, Jiang-Lun
INFINITE DIMENSIONAL ANALYSIS QUANTUM PROBABILITY AND RELATED TOPICS, 2021, 24 (01)

← 1 2 3 4 5 →