• Title of article

    Uniform concentration inequality for ergodic diffusion processes

  • Author/Authors

    L. Galtchouk، نويسنده , , L. and Pergamenshchikov، نويسنده , , S.، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 2007
  • Pages
    10
  • From page
    830
  • To page
    839
  • Abstract
    We consider the deviation function in the ergodic theorem for an ergodic diffusion process ( y t ) Δ T ( φ ) = T − 1 / 2 ∫ 0 T ( φ ( y t ) − m ( φ ) ) d t , where φ is some function, m ( φ ) is the integral of φ with respect to the ergodic distribution of ( y t ) . We prove a concentration inequality for Δ T ( φ ) which is uniform with respect to φ and T ≥ 1 .
  • Keywords
    Ergodic diffusion processes , Upper exponential bound , Concentration inequality , Tail distribution
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    2007
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1577891