Transportation inequalities for stochastic differential equations with jumps

Yutao Ma

Stochastic Processes and their Applications, 2010, vol. 120, issue 1, 2-21

Abstract: 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.

Keywords: Stochastic; differential; equation; Transportation; inequality; Convex; concentration; inequality (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (4)

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