Article ID Journal Published Year Pages File Type
4615529 Journal of Mathematical Analysis and Applications 2015 23 Pages PDF
Abstract

By using the Malliavin calculus, we establish the T1T1 transportation-cost inequalities for stochastic differential equations with jumps, which generalizes the results in [14]. As an application, we establish the T1T1 transportation-cost inequalities for regime-switching diffusion processes.

Related Topics
Physical Sciences and Engineering Mathematics Analysis
Authors
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