Transportation cost inequality for backward stochastic differential equations with mean reflection

Yin Dai and Ruinan Li

Statistics & Probability Letters, 2021, vol. 177, issue C

Abstract: Using the method of Girsanov’s transformation, we investigate Talagrand’s quadratic transportation cost inequalities for the law of the solution of backward stochastic differential equations with mean reflection, under the uniform norm and L2-norm. These equations are driven by a Brownian motion.

Keywords: Transportation-information inequalities; BSDEs with mean reflection; Girsanov’s transformation (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0167715221001292
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001292

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

DOI: 10.1016/j.spl.2021.109167

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().