Article ID Journal Published Year Pages File Type
1156343 Stochastic Processes and their Applications 2007 10 Pages PDF
Abstract

We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt)(yt)ΔT(φ)=T−1/2∫0T(φ(yt)−m(φ))dt, where φφ is some function, m(φ)m(φ) is the integral of φφ with respect to the ergodic distribution of (yt)(yt). We prove a concentration inequality for ΔT(φ)ΔT(φ) which is uniform with respect to φφ and T≥1T≥1.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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