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Transportation inequalities for stochastic differential equations with jumps
Authors:Yutao Ma
Affiliation:School of Mathematical Sciences & Lab. Math. Com. Sys., Beijing Normal University, Xinjiekou Wai Street 19, 100875, China
Abstract:For stochastic differential equations with jumps, we prove that W1HW1H transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L1L1-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given.
Keywords:Stochastic differential equation   Transportation inequality   Convex concentration inequality
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