带跳随机微分方程的偏差不等式  

Deviation Inequalities for Stochastic Differential Equations with Jumps

作　　者：吴晔[1] 

机构地区：[1]福建江夏学院电子信息科学系,福州350108

出　　处：《应用概率统计》2013年第1期75-86,共12页Chinese Journal of Applied Probability and Statistics

摘　　要：利用鞅方法,我们给出跳扩散过程的偏差不等式,推广了之前关于纯Lévy跳过程在类Cramér条件下的结论,同时我们的方法对于Lévy测度不具有指数矩的情形也是适用的.By adopting the martingale technique,we derive deviation inequalities for Lipschitz functions of general jump-di？usion processes.Our results extend related works for pure jump L＇evy processes under Cram＇er＇s like assumption,while our approach is considerably e？cient for the situation that L＇evy measure does not have finite exponential moments.

关 键 词：偏差不等式 跳扩散过程 LIPSCHITZ性质 

分 类 号：O211.62[理学—概率论与数理统计]