{
  "id": "1901.03502",
  "version": "v1",
  "published": "2019-01-11T08:17:55.000Z",
  "updated": "2019-01-11T08:17:55.000Z",
  "title": "Concentration inequalities for Stochastic Differential Equations with additive fractional noise",
  "authors": [
    "Maylis Varvenne"
  ],
  "categories": [
    "math.PR"
  ],
  "abstract": "In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval [0, T ] of an additive SDE driven by a fractional Brownian motion with Hurst parameter H $\\in$ (0, 1) and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2019-01-11T08:17:55.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "stochastic differential equations",
      "additive fractional noise",
      "concentration inequalities",
      "continuous-time occupation measures",
      "fractional brownian motion"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable"
    }
  }
}