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Preprints, Working Papers, ... Year : 2019

Concentration inequalities for Stochastic Differential Equations with additive fractional noise

Abstract

In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval [0, T ] of an additive SDE driven by a fractional Brownian motion with Hurst parameter H ∈ (0, 1) and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process.
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Dates and versions

hal-01975471 , version 1 (09-01-2019)
hal-01975471 , version 2 (03-04-2019)
hal-01975471 , version 3 (05-11-2019)

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Cite

Maylis Varvenne. Concentration inequalities for Stochastic Differential Equations with additive fractional noise. 2019. ⟨hal-01975471v2⟩
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