Concentration inequalities for Stochastic Differential Equations with additive fractional noise
arXiv:1901.03502
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 (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.
Electronic Journal of Probability, Institute of Mathematical Statistics (IMS), In press