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math.PR2011
Uniform concentration inequality for ergodic diffusion processes observed at discrete times
Leonid Galtchouk, Serguei Pergamenchtchikov
In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the case of discrete time observations of diffusion processes. The proof is based on…
q-fin.PM2011
Optimal consumption and investment for markets with random coefficients
Berdjane Belkacem, Serguei Pergamenchtchikov
We consider an optimal investment and consumption problem for a Black-Scholes financial market with stochastic coefficients driven by a diffusion process. We assume that an agent m…