Transportation inequalities for stochastic heat equations

Brahim Boufoussi and Salah Hajji

Statistics & Probability Letters, 2018, vol. 139, issue C, 75-83

Abstract: Using the method of Girsanov transformation, we establish the transportation inequalities, on the continuous paths space with respect to the L2 metric, for the law of the solution of stochastic heat equation driven by space–time white noise. The case of stochastic heat equations driven by fractional noise is also investigated.

Keywords: Stochastic heat equation; White noise; Fractional noise; Girsanov transformation; Transportation inequality (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1016/j.spl.2018.03.012

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