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Convex Concentration Inequalities and Forward-Backward Stochastic Calculus

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1.	Title	Title of document	Convex Concentration Inequalities and Forward-Backward Stochastic Calculus
2.	Creator	Author's name, affiliation, country	Thierry Klein; Universite Paul Sabatier
2.	Creator	Author's name, affiliation, country	Yutao Ma; Universite de La Rochelle
2.	Creator	Author's name, affiliation, country	Nicolas Privault; Universite de La Rochelle
3.	Subject	Discipline(s)
3.	Subject	Keyword(s)	Convex concentration inequalities, forward-backward stochastic calculus, deviation inequalities, Clark formula, Brownian motion, jump processes
3.	Subject	Subject classification	60F99, 60F10, 60H07, 39B62
4.	Description	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
5.	Publisher	Organizing agency, location
6.	Contributor	Sponsor(s)
7.	Date	(YYYY-MM-DD)	2006-07-07
8.	Type	Status & genre	Peer-reviewed Article
8.	Type	Type
9.	Format	File format	PDF
10.	Identifier	Uniform Resource Identifier	http://ejp.ejpecp.org/article/view/332
10.	Identifier	Digital Object Identifier	10.1214/EJP.v11-332
11.	Source	Journal/conference title; vol., no. (year)	Electronic Journal of Probability; Vol 11
12.	Language	English=en
14.	Coverage	Geo-spatial location, chronological period, research sample (gender, age, etc.)
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