Galtchouk, L.; Pergamenshchikov, S. - In: Stochastic Processes and their Applications 117 (2007) 7, pp. 830-839
We consider the deviation function in the ergodic theorem for an ergodic diffusion process (yt) where [phi] is some function, m([phi]) is the integral of [phi] with respect to the ergodic distribution of (yt). We prove a concentration inequality for [Delta]T([phi]) which is uniform with respect...