Convex concentration for some additive functionals of jump stochastic differential equations

被引：0
作者：
Yutao Ma
Nicolas Privault
机构：
[1] Beijing Normal University,School of Mathematical Sciences and Laboratory for Mathematics and Complex Systems
[2] Nanyang Technological University,School of Physical and Mathematical Sciences
来源：
Acta Mathematica Sinica, English Series | 2013年 / 29卷
关键词：
Convex concentration inequalities; transportation-information inequalities; stochastic differential equations with jumps; interest rate derivatives; 28A35; 28C20; 60E15; 60G15;
D O I：
暂无
中图分类号：
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.
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页码：1449 / 1458
页数：9
相关论文
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