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
收藏
页码：2 / 21
页数：20
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