IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v130y2020i10p6445-6479.html
   My bibliography  Save this article

Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps

Author

Listed:
  • Torrisi, Giovanni Luca

Abstract

We provide concentration inequalities for solutions to stochastic differential equations of pure not-necessarily Poissonian jumps. Our proofs are based on transportation cost inequalities for square integrable functionals of point processes with stochastic intensity and elements of stochastic calculus with respect to semi-martingales. We apply the general results to solutions of stochastic differential equations driven by renewal and non-linear Hawkes point processes.

Suggested Citation

  • Torrisi, Giovanni Luca, 2020. "Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6445-6479.
    • Handle: RePEc:eee:spapps:v:130:y:2020:i:10:p:6445-6479
    DOI: 10.1016/j.spa.2020.05.017
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414920302891
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.spa.2020.05.017?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Ma, Yutao, 2010. "Transportation inequalities for stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 2-21, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Suo, Yongqiang & Yuan, Chenggui & Zhang, Shao-Qin, 2022. "Transportation cost inequalities for SDEs with irregular drifts," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 288-311.
    2. Dejun Luo, 2015. "Quasi-invariance of the Stochastic Flow Associated to Itô’s SDE with Singular Time-Dependent Drift," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1743-1762, December.
    3. Dai, Yin & Li, Ruinan, 2021. "Transportation cost inequality for backward stochastic differential equations with mean reflection," Statistics & Probability Letters, Elsevier, vol. 177(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:130:y:2020:i:10:p:6445-6479. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.