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Concentration inequalities for Stochastic Differential Equations with additive fractional noise (1901.03502v2)
Published 11 Jan 2019 in math.PR
Abstract: In this paper, we establish concentration inequalities both for functionals of the whole solution on an interval [0, T ] of an additive SDE driven by a fractional Brownian motion with Hurst parameter H $\in$ (0, 1) and for functionals of discrete-time observations of this process. Then, we apply this general result to specific functionals related to discrete and continuous-time occupation measures of the process.
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