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Convex concentration for some additive functionals of jump stochastic differential equations.
- Source :
-
Acta Mathematica Sinica . Aug2013, Vol. 29 Issue 8, p1449-1458. 10p. - Publication Year :
- 2013
-
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]
Details
- Language :
- English
- ISSN :
- 14398516
- Volume :
- 29
- Issue :
- 8
- Database :
- Academic Search Index
- Journal :
- Acta Mathematica Sinica
- Publication Type :
- Academic Journal
- Accession number :
- 88936704
- Full Text :
- https://doi.org/10.1007/s10114-013-2635-9