Transportation-cost inequalities for non-linear Gaussian functionals

Ioannis Gasteratos and Antoine Jacquier

Papers from arXiv.org

Abstract: We study concentration properties for laws of non-linear Gaussian functionals on metric spaces. Our focus lies on measures with non-Gaussian tail behaviour which are beyond the reach of Talagrand's classical Transportation-Cost Inequalities (TCIs). Motivated by solutions of Rough Differential Equations and relying on a suitable contraction principle, we prove generalised TCIs for functionals that arise in the theory of regularity structures and, in particular, in the cases of rough volatility and the two-dimensional Parabolic Anderson Model. In doing so, we also extend existing results on TCIs for diffusions driven by Gaussian processes.

Date: 2023-10
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