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
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