Transportation cost inequalities for diffusions under uniform distance

Details Transportation cost inequalities for diffusions under uniform distance Transportation cost inequalities for diffusions under uniform distance

2010-09-27

arxiv.org/abs/1009.5251v3

Mathematics

Probability

Scientific paper

We prove the transportation inequality with the uniform norm for the laws of
diffusion processes with Lipschitz and/or dissipative coefficients and apply
them to some singular stochastic differential equations of interest.

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