Transportation inequalities for stochastic differential equations with jumps
For stochastic differential equations with jumps, we prove that W1H transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L1-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given.
Year of publication: |
2010
|
---|---|
Authors: | Ma, Yutao |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 1, p. 2-21
|
Publisher: |
Elsevier |
Keywords: | Stochastic differential equation Transportation inequality Convex concentration inequality |
Saved in:
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