Search

Your search keyword '"Privault, Nicolas"' showing total 1 results
Start Over Author "Privault, Nicolas" Topic 60e15 Topic probability theory
1 results on '"Privault, Nicolas"'

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
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results