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hal-00429252, version 1

Deviation inequalities for exponential jump-diffusion processes

Benjamin Laquerrière () 1, Nicolas Privault () 2

Abstract: In this note we obtain deviation inequalities for the law of exponential jump-diusion processes at a fixed time. Our method relies on convex concentration inequalities obtained by forward/backward stochastic calculus. In the pure jump and pure diffusion cases, it also improves on classical results obtained by direct application of Gaussian and Poisson bounds.

  • 1:  Mathématiques, Image et Applications (MIA)
  • Université de La Rochelle : EA3165
  • 2:  Department of Mathematics, City University of Hong Kong
  • City University of Hong Kong
  • Domain : Mathematics/Probability
  • Keywords : Deviation inequalities – exponential jump-diffusion processes – forward/backward stochastic calculus
 
  • hal-00429252, version 1
  • http://hal.archives-ouvertes.fr/hal-00429252
  • oai:hal.archives-ouvertes.fr:hal-00429252
  • From: Benjamin Laquerrière <>
  • Submitted on: Monday, 2 November 2009 11:15:11
  • Updated on: Monday, 2 November 2009 19:35:28