Transportation cost inequalities for SDEs with irregular drifts

Yongqiang Suo, Chenggui Yuan and Shao-Qin Zhang

Stochastic Processes and their Applications, 2022, vol. 144, issue C, 288-311

Abstract: In this paper, the quadratic transportation cost inequality for SDEs with Dini continuous drift and the W1-transportation cost inequality for SDEs with singular coefficients are established via the stability of the Wasserstein distance and relative entropy of measures under the homeomorphism induced by Zvonkin’s transformation.

Keywords: Stochastic differential equations; Zvonkin’s transformation; Transportation cost inequality (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spa.2021.11.007

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