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arXiv · 2310.18699

Some new concentration inequalities for the It\^o stochastic integral

Nguyen Tien Dung
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Abstract

In this paper, based on the techniques of Malliavin calculus, we provide some new concentration inequalities for the running supremum of the It\^o stochastic integral with unbounded integrands. Several applications and examples are provided as well.

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Nguyen Tien Dung. 2023-10-28. Some new concentration inequalities for the It\^o stochastic integral. https://arxiv.org/abs/2310.18699

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