Results
Title

Convex concentration for some additive functionals of jump stochastic differential equations.

Authors

Ma, Yutao; Privault, Nicolas

Abstract

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.

Subjects

CONVEX geometry; FUNCTIONALS; STOCHASTIC differential equations; MATHEMATICAL inequalities; DERIVATIVES (Mathematics); MATHEMATICAL bounds; PROBABILITY theory

Publication

Acta Mathematica Sinica, 2013, Vol 29, Issue 8, p1449

ISSN

1439-8516

Publication type

Academic Journal

DOI

10.1007/s10114-013-2635-9