Deviation Inequalities for Exponential Jump-diffusion Processes
نویسندگان
چکیده
In this note we obtain deviation inequalities for the law of exponential jump-diffusion 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.
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