Uniform concentration inequality for ergodic diffusion processes observed at discrete times

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.

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Year of publication:	2013
Authors:	Galtchouk, L. ; Pergamenshchikov, S.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 123.2013, 1, p. 91-109
Publisher:	Elsevier
Subject:	Concentration inequality \| Ergodic diffusion processes \| Geometric ergodicity \| Markov chains \| Tail distribution \| Upper exponential bound

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

Persistent link: https://www.econbiz.de/10010591887