Uniform concentration inequality for ergodic diffusion processes observed at discrete times

Leonid Galtchouk; Serguei Pergamenchtchikov

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arXiv · 1109.3406

Uniform concentration inequality for ergodic diffusion processes observed at discrete times

Leonid Galtchouk·Serguei Pergamenchtchikov

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Abstract

In this paper a concentration inequality is proved for the deviation in the ergodic theorem in the case of discrete time observations of diffusion processes. The proof is based on the geometric ergodicity property for diffusion processes. As an application we consider the nonparametric pointwise estimation problem for the drift coefficient under discrete time observations.

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Leonid Galtchouk, Serguei Pergamenchtchikov. 2011-09-15. Uniform concentration inequality for ergodic diffusion processes observed at discrete times. https://arxiv.org/abs/1109.3406

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