Transportation inequalities for stochastic differential equations with jumps

被引：17

作者：

Ma, Yutao ^{[1
,2
]}

机构：

[1] Beijing Normal Univ, Sch Math Sci, Beijing 100875, Peoples R China

[2] Beijing Normal Univ, Lab Math Com Sys, Beijing 100875, Peoples R China

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2010年 / 120卷 / 01期

关键词：

Stochastic differential equation; Transportation inequality; Convex concentration inequality;

D O I：

10.1016/j.spa.2009.09.012

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：

For stochastic differential equations with jumps, we prove that W(1)H transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L(1)-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：2 / 21

页数：20

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