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Uniform concentration inequality for ergodic diffusion processes

We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt) where [phi] is some function, m([phi]) is the integral of [phi] with respect to the ergodic distribution of (yt). We prove a concentration inequality for [Delta]T([phi]) which is uniform with respect to [phi] and T>=1.
Year of publication:
2007
Authors: Galtchouk, L. ; Pergamenshchikov, S.
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 117.2007, 7, p. 830-839
Publisher: Elsevier
Keywords: Ergodic diffusion processes Tail distribution Upper exponential bound Concentration inequality
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Type of publication: Article
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Persistent link: https://www.econbiz.de/10008875224
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