Article ID Journal Published Year Pages File Type
1155853 Stochastic Processes and their Applications 2010 20 Pages PDF
Abstract

For stochastic differential equations with jumps, we prove that W1HW1H transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L1L1-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given.

Related Topics
Physical Sciences and Engineering Mathematics Mathematics (General)
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