most citedTowards a Quantitative Averaging Principle for Stochastic Differential Equations

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math.PR2018

Concentration Inequalities for Additive Functionals: a Martingale Approach

Bob Pepin

This work shows how exponential concentration inequalities for additive functionals of stochastic processes over a finite time interval can be derived from concentration inequaliti…

math.PR2017★ 1 cited

Towards a Quantitative Averaging Principle for Stochastic Differential Equations

Bob Pepin

This work explores the use of a forward-backward martingale method together with a decoupling argument and entropic estimates between the conditional and averaged measures to prove…