Uniform concentration inequality for ergodic diffusion processes

L. Galtchouk and Sergey Pergamenshchikov ()

Stochastic Processes and their Applications, 2007, vol. 117, issue 7, 830-839

Abstract: 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.

Keywords: Ergodic; diffusion; processes; Tail; distribution; Upper; exponential; bound; Concentration; inequality (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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