Functional inequalities for forward and backward diffusions
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Publication:2201508
DOI10.1214/20-EJP495zbMath1459.60156arXiv1910.00504OpenAlexW3049742096MaRDI QIDQ2201508
Publication date: 29 September 2020
Published in: Electronic Journal of Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1910.00504
stochastic differential equationoptimal stoppingbackward stochastic differential equationnon-smooth coefficientsconcentration of measureslogarithmic-Sobolev inequalityquadratic transportation inequality
Inequalities; stochastic orderings (60E15) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)
Related Items (7)
Backward propagation of chaos ⋮ Convergence of Large Population Games to Mean Field Games with Interaction Through the Controls ⋮ Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ Transportation cost inequalities for SDEs with irregular drifts ⋮ Quadratic transportation inequalities for SDEs with measurable drift ⋮ On Monte-Carlo methods in convex stochastic optimization
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