منابع مشابه
Convex concentration inequalities and forward-backward stochastic calculus
Given (Mt)t∈R+ and (M ∗ t )t∈R+ respectively a forward and a backward martingale with jumps and continuous parts, we prove that E[φ(Mt + M ∗ t )] is nonincreasing in t when φ is a convex function, provided the local characteristics of (Mt)t∈R+ and (M ∗ t )t∈R+ satisfy some comparison inequalities. We deduce convex concentration inequalities and deviation bounds for random variables admitting a ...
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E[φ(X∗)] ≤ E[φ(X)], (1.1) ∗The third author acknowledges the financial support from NTU Start-Up Grant M58110087. †UMR 6625 CNRS Institut de Recherche Mathématique de Rennes (IRMAR), Université de Rennes 1, Campus de Beaulieu, 35042 Rennes Cedex, France. ‡Laboratoire Analyse, Géométrie & Applications, UMR 7539, Institut Galilée, Université Paris 13, 99 avenue J.B. Clément, 93430 Villetaneuse, F...
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ژورنال
عنوان ژورنال: Journal of Functional Analysis
سال: 1981
ISSN: 0022-1236
DOI: 10.1016/0022-1236(81)90043-4