Ma, Yutao et Privault, Nicolas, Convex concentration for some additive functionals of jump stochastic differential equations, Acta mathematica Sinica. English series (Print) , 29(8), 2013, pp. 1449-1458
Using forward-backward stochastic calculus, we prove convex concentration inequalities for some additive functionals of the solution of stochastic differential equations with jumps admitting an invariant probability measure. As a consequence, transportation-information inequalities are obtained and bounds on option prices for interest rate derivatives are given as an application.