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

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