How to cite item

Convex Concentration Inequalities and Forward-Backward Stochastic Calculus

   
@article{EJP332,
	author = {Thierry Klein and Yutao Ma and Nicolas Privault},
	title = {Convex Concentration Inequalities and Forward-Backward Stochastic Calculus},
	journal = {Electron. J. Probab.},
	fjournal = {Electronic Journal of Probability},
	volume = {11},
	year = {2006},
	keywords = {Convex concentration inequalities, forward-backward stochastic calculus, deviation inequalities, Clark formula, Brownian motion, jump processes},
	abstract = {Given $(M_t)_{t\in \mathbb{R}_+}$ and $(M^*_t)_{t\in \mathbb{R}_+}$ respectively   a forward and a backward martingale with jumps and continuous parts,   we prove that $E[\phi (M_t+M^*_t)]$ is non-increasing in $t$   when $\phi$ is a convex function,   provided the local characteristics of $(M_t)_{t\in \mathbb{R}_+}$ and $(M^*_t)_{t\in \mathbb{R}_+}$   satisfy some comparison inequalities.   We deduce convex concentration inequalities   and deviation bounds for random variables admitting a predictable representation   in terms of a Brownian motion and a non-necessarily independent   jump component},
	pages = {no. 20, 486-512},
	issn = {1083-6489},
	doi = {10.1214/EJP.v11-332},    
        url = {http://ejp.ejpecp.org/article/view/332}}