带跳随机微分方程的偏差不等式

Deviation Inequalities for Stochastic Differential Equations with Jumps

  • 摘要: 利用鞅方法, 我们给出跳扩散过程的偏差不等式, 推广了之前关于纯跳过程在类条件下的结论, 同时我们的方法对于测度不具有指数矩的情形也是适用的.

     

    Abstract: By adopting the martingale technique, we derive deviation inequalities for Lipschitz functions of general jump-diffusion processes. Our results extend related works for pure jump processes under 's like assumption, while our approach is considerably efficient for the situation that measure does not have finite exponential moments.

     

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