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

Author

Ma, Yutao and Privault, Nicolas

Subjects
*CONVEX geometry, *FUNCTIONALS, *STOCHASTIC differential equations, *MATHEMATICAL inequalities, *DERIVATIVES (Mathematics), *MATHEMATICAL bounds, *PROBABILITY theory
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. [ABSTRACT FROM AUTHOR]

Published
2013
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