Median, concentration and fluctuations for Lévy processes

We estimate a median of f(Xt) where f is a Lipschitz function, X is a Lévy process and t is an arbitrary time. This leads to concentration inequalities for f(Xt). In turn, corresponding fluctuation estimates are obtained under assumptions typically satisfied if the process has a regular behavior in small time and a, possibly different, regular behavior in large time.

MoreLess

Year of publication:	2008
Authors:	Houdré, Christian ; Marchal, Philippe
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 118.2008, 5, p. 852-863
Publisher:	Elsevier
Subject:	Lévy processes Median Fluctuations Concentration

Online Resource

Check full text access |

More access options

Check Google Scholar

In libraries world-wide (WorldCat)

In German libraries (KVK)

subito order

I need help

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875409