Transportation cost inequality for backward stochastic differential equations

Khaled Bahlali, Brahim Boufoussi and Soufiane Mouchtabih

Statistics & Probability Letters, 2019, vol. 155, issue C, -

Abstract: We prove that probability laws of a backward stochastic differential equation, satisfy a quadratic transportation cost inequality under the uniform metric. That is, a comparison of the Wasserstein distance from the law of the solution of the equation to any other absolutely continuous measure with finite relative entropy. From this we derive concentration properties of Lipschitz functions of the solution.

Keywords: Backward stochastic differential equations; Concentration of measure; Transportation-information inequality; Girsanov transformation (search for similar items in EconPapers)
Date: 2019
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DOI: 10.1016/j.spl.2019.108586

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