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
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
Journal title :
Stochastic Processes and their Applications