Title of article
Uniform concentration inequality for ergodic diffusion processes observed at discrete times
Author/Authors
L. Galtchouk، نويسنده , , L. and Pergamenshchikov، نويسنده , , S.، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2013
Pages
19
From page
91
To page
109
Abstract
In this paper a concentration inequality is proved for the deviation in the ergodic theorem for diffusion processes in the case of discrete time observations. The proof is based on geometric ergodicity of diffusion processes. We consider as an application the nonparametric pointwise estimation problem of the drift coefficient when the process is observed at discrete times.
Keywords
Ergodic diffusion processes , Concentration inequality , Markov chains , Geometric ergodicity , Tail distribution , Upper exponential bound
Journal title
Stochastic Processes and their Applications
Serial Year
2013
Journal title
Stochastic Processes and their Applications
Record number
1578771
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