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Convex concentration for some additive functionals of jump stochastic differential equations |
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| Authors: | Yutao Ma Nicolas Privault |
| Institution: | 12635. School of Mathematical Sciences and Laboratory for Mathematics and Complex Systems, Beijing Normal University, Beijing, 100875, P. R. China 22635. School of Physical and Mathematical Sciences, Nanyang Technological University, Nanyang, 637371, Singapore |
| Abstract: | Using forward-backward stochastic calculus, we prove convex concentration inequalities for some additive functionals of the solution of stochastic differential equations with jumps admitting an invariant probability measure. As a consequence, transportation-information inequalities are obtained and bounds on option prices for interest rate derivatives are given as an application. |
| Keywords: | Convex concentration inequalities transportation-information inequalities stochastic differential equations with jumps interest rate derivatives |
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