A Hoeffding’s inequality for uniformly ergodic diffusion process

Michael C.H. Choi and Evelyn Li

Statistics & Probability Letters, 2019, vol. 150, issue C, 23-28

Abstract: In this note, we present a version of Hoeffding’s inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the well-studied case of Hoeffding’s inequality for discrete-time uniformly ergodic Markov chain, the proof relies on techniques ranging from martingale theory to classical Hoeffding’s lemma as well as the notion of deviation kernel of diffusion process. We present two examples to illustrate our results. In the first example we consider large deviation probability on the occupation time of the Jacobi diffusion, a popular process used in modelling of exchange rates in mathematical finance, while in the second example we look at the exponential functional of a finite interval analogue of the Ornstein–Uhlenbeck process introduced by Kessler and Sørensen (1999).

Keywords: Diffusion process; Hoeffding’s inequality; Large deviations (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2019.02.012

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