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Concentration and deviation inequalities in infinite dimensions via covariance representations. (English) Zbl 1012.60020

The purpose of this paper is to explore topics in concentration and deviation inequalities, in particular in infinite-dimensional settings. Concentration and deviation inequalities are obtained for functionals on Wiener space, Poisson space or more generally for normal martingales and binomial processes. The method used here is based on covariance identities obtained via the chaotic representation property, and provides an alternative to the use of logarithmic Sobolev inequalities. It enables the recovery of known concentration and deviation inequalities on the Wiener and Poisson space (including those given by sharp logarithmic Sobolev inequalities), and extends results available in the discrete case, i.e. on the infinite cube \(\{ -1, 1 \}^\infty.\)

MSC:

60E15 Inequalities; stochastic orderings
60G44 Martingales with continuous parameter
28B10 Group- or semigroup-valued set functions, measures and integrals
37D45 Strange attractors, chaotic dynamics of systems with hyperbolic behavior