A Hoeffdings inequality for uniformly ergodic diffusion process

In this note, we present a version of Hoeffdings inequality in a continuous-time setting, where the data stream comes from a uniformly ergodic diffusion process. Similar to the well-studied case of Hoeffdings inequality for discrete-time uniformly ergodic Markov chain, the proof relies on techniques ranging from martingale theory to classical Hoeffdings lemma as well as the notion of deviation kernel of diffusion process. We present two examples to illustrate our results. In the first example we consider large deviation probability on the occupation time of the Jacobi diffusion, a popular process used in modelling of exchange rates in mathematical finance, while in the second example we look at the exponential functional of a finite interval analogue of the Ornstein-Uhlenbeck process introduced by Kessler and S{o}rensen (1999).