We found a match
Your institution may have access to this item. Find your institution then sign in to continue.
- 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