Some new concentration inequalities for the Itô stochastic integral
Fuente:
arXiv
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| Main Author: | |
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| Format: | Preprint |
| Published: |
2023
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| _version_ | 1866917605362630656 |
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| author | Dung, Nguyen Tien |
| author_facet | Dung, Nguyen Tien |
| contents | In this paper, based on the techniques of Malliavin calculus, we provide some new concentration inequalities for the running supremum of the Itô stochastic integral with unbounded integrands. Several applications and examples are provided as well. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2310_18699 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Some new concentration inequalities for the Itô stochastic integral Dung, Nguyen Tien Probability 60E15, 60H07 In this paper, based on the techniques of Malliavin calculus, we provide some new concentration inequalities for the running supremum of the Itô stochastic integral with unbounded integrands. Several applications and examples are provided as well. |
| title | Some new concentration inequalities for the Itô stochastic integral |
| topic | Probability 60E15, 60H07 |
| url | https://arxiv.org/abs/2310.18699 |