Work

Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion

Year: 2012

Type: article

Abstract: We establish Talagrand’s T1 and T2 inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter H > 1/2. We use the L2 metric and the uniform metric on the path space of continuous functions on [0, T]. These results are applied to study small-time and large-time asymptotics for the solutions of such equations by means of a Hoeffding-type inequality.

Source: Bernoulli

DOI: 10.3150/10-bej324

Author: Bruno Saussereau

Institutions: Centre National de la Recherche Scientifique, Laboratoire de Mathématiques de Besançon, Université de Franche-Comté

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: bronze

OpenAlex ID: W2116585748

FWCI: 7.444

Cites: 36

Cited by: 64

Related to: 10