Concentration analysis of multivariate elliptic diffusion processes. (arXiv:2206.03329v1 [math.PR])

We prove concentration inequalities and associated PAC bounds for continuous-
and discrete-time additive functionals for possibly unbounded functions of
multivariate, nonreversible diffusion processes. Our analysis relies on an
approach via the Poisson equation allowing us to consider a very broad class of
subexponentially ergodic processes. These results add to existing concentration
inequalities for additive functionals of diffusion processes which have so far
been only available for either bounded functions or for unbounded functions of
processes from a significantly smaller class. …

analysis arxiv diffusion math pr processes