Galtchouk, L.; Pergamenshchikov, S. - In: Stochastic Processes and their Applications 123 (2013) 1, pp. 91-109
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...
