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

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arxiv 2310.18699 v2 pith:DROX54DC submitted 2023-10-28 math.PR

Nguyen Tien Dung This is my paper
classification math.PR
keywords concentrationinequalitiesintegralsomestochasticapplicationscalculusexamples
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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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    Rigorous worst- and average-case error bounds show comparable worst-case scaling for digital and analog quantum simulators under perturbative noise, with distinct average-case error cancellation and concentration boun...

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