Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4615529 | Journal of Mathematical Analysis and Applications | 2015 | 23 Pages |
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Jinghai Shao, Chenggui Yuan,