Geodesic
Deviation inequallities for exponential jump-diffusion processes
Teoriâ slučajnyh processov, Tome 16 (2010) no. 1, pp. 67-72.

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We clarify the connection between diffusion processes and partial differential equations of the parabolic type. The emphasis is on degenerate parabolic equations. These equations are a generalization of the classical Kolmogorov equation of diffusion with inertia which may be treated as the Fokker-Planck-Kolmogorov equations for the respectively degenerate diffusion processes. The basic results relating to the fundamental solution and the correct solvability of the Cauchy problem are presented.
Keywords: Deviation inequalities, exponential jump-diffusion processes, concentration inequalities, forward/backward stochastic calculus. 
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B. Laquerrière; N. Privault. Deviation inequallities for exponential jump-diffusion processes. Teoriâ slučajnyh processov, Tome 16 (2010) no. 1, pp. 67-72. http://geodesic.mathdoc.fr/item/THSP_2010_16_1_a8/

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