Transportation inequalities for stochastic differential equations with jumps |
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Authors: | Yutao Ma |
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Affiliation: | School of Mathematical Sciences & Lab. Math. Com. Sys., Beijing Normal University, Xinjiekou Wai Street 19, 100875, China |
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Abstract: | For stochastic differential equations with jumps, we prove that W1H transportation inequalities hold for their invariant probability measures and for their process-level laws on the right-continuous path space w.r.t. the L1-metric and uniform metric, under dissipative conditions, via Malliavin calculus. Several applications to concentration inequalities are given. |
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Keywords: | Stochastic differential equation Transportation inequality Convex concentration inequality |
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