We derive nonasymptotic upper bounds on the probability that a generalized current of a geometrically ergodic diffusion observed for any amount of time, or its sample mean over any arbitrary sample size, deviates from the stationary mean by more than any given amount. The concentration-of-measure behavior of generalized currents is universally governed by the relaxation time of the underlying dynamics, the locally observed dissipation rate, and the intrinsic local fluctuations of the observable. We uncover stark qualitative and quantitative differences in fluctuations in and out of thermodynamic equilibrium. We further obtain refined inverse thermodynamic uncertainty relations, bounding the variance of generalized currents from above. We construct nonasymptotic confidence intervals for controlling uncertainty in thermodynamic inference from small data, i.e., from short trajectories and small samples, and provide the first quantitative answer to when a trajectory is sufficiently long and a sample is sufficiently large. As an illustration, we apply our results to currents observed on a two-dimensional Ornstein-Uhlenbeck process in and out of equilibrium and show how they can be used to rigorously detect broken detailed balance.
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