Transportation cost inequality for backward stochastic differential equations with mean reflection

被引：3

作者：

Dai, Yin ^{[1
]}

Li, Ruinan ^{[2
]}

机构：

[1] Wuhan Univ, Sch Math & Stat, Wuhan 430072, Peoples R China

[2] Shanghai Univ Int Business & Econ, Sch Stat & Informat, Shanghai 201620, Peoples R China

来源：

STATISTICS & PROBABILITY LETTERS | 2021年 / 177卷

关键词：

Transportation-information inequalities; BSDEs with mean reflection; Girsanov's transformation; RISK MEASURES; PATH; BSDES; MANIFOLDS;

D O I：

10.1016/j.spl.2021.109167

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

Using the method of Girsanov's transformation, we investigate Talagrand's quadratic transportation cost inequalities for the law of the solution of backward stochastic differential equations with mean reflection, under the uniform norm and L-2-norm. These equations are driven by a Brownian motion. (C) 2021 Elsevier B.V. All rights reserved.

引用

页数：10

共 50 条

[1] Transportation cost inequality for backward stochastic differential equations
Bahlali, Khaled
Boufoussi, Brahim
Mouchtabih, Soufiane
[J]. STATISTICS & PROBABILITY LETTERS, 2019, 155
[2] Transportation cost inequality for backward stochastic differential equations (vol 155, 108586, 2019)
Bahlali, Khaled
Boufoussi, Brahim
Mouchtabih, Soufiane
[J]. STATISTICS & PROBABILITY LETTERS, 2022, 182
[3] Backward stochastic differential equations with mean reflection and two constraints
Falkowski, Adrian
Slominski, Leszek
[J]. BULLETIN DES SCIENCES MATHEMATIQUES, 2022, 176
[4] Backward doubly-stochastic differential equations with mean reflection
Qian, Hongchao
Peng, Jun
[J]. PROBABILITY UNCERTAINTY AND QUANTITATIVE RISK, 2023, 8 (04) : 417 - 444
[5] Mean-field backward stochastic differential equations with mean reflection and nonlinear resistance
Luo, Peng
[J]. STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES, 2024,
[6] Jensen's inequality for backward stochastic differential equations
Jiang, Long
[J]. CHINESE ANNALS OF MATHEMATICS SERIES B, 2006, 27 (05) : 553 - 564
[7] Jensen’s Inequality for Backward Stochastic Differential Equations*
Long Jiang
[J]. Chinese Annals of Mathematics, Series B, 2006, 27 : 553 - 564
[8] Jensen’s Inequality for Backward Stochastic Differential Equations
Long JIANG Department of Mathematics
School of Mathematical Sciences
School of Mathematics and System Sciences
[J]. Chinese Annals of Mathematics(Series B), 2006, (05) : 553 - 564
[9] Backward stochastic differential equations with reflection and Dynkin games
Cvitanic, J
Karatzas, I
[J]. ANNALS OF PROBABILITY, 1996, 24 (04): : 2024 - 2056
[10] General Mean Reflected Backward Stochastic Differential Equations
Ying Hu
Remi Moreau
Falei Wang
[J]. Journal of Theoretical Probability, 2024, 37 : 877 - 904

← 1 2 3 4 5 →