A note on transportation cost inequalities for diffusions with reflections
From MaRDI portal
Publication:2631816
DOI10.1214/19-ECP223zbMath1416.82031arXiv1808.02164MaRDI QIDQ2631816
Publication date: 16 May 2019
Published in: Electronic Communications in Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1808.02164
relative entropyconcentration of measureWasserstein distancereflected Brownian motioncompeting Brownian particlestransportation cost-information inequality
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting particle systems in time-dependent statistical mechanics (82C22) Brownian motion (60J65) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60) Portfolio theory (91G10)
Related Items (8)
Dimension-free local convergence and perturbations for reflected Brownian motions ⋮ Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions ⋮ A transportation inequality for reflected SPDEs on infinite spatial domain ⋮ Transportation cost-information inequality for stochastic wave equation ⋮ Talagrand concentration inequalities for stochastic heat-type equations under uniform distance ⋮ Quadratic transportation cost inequality for scalar stochastic conservation laws ⋮ Talagrand concentration inequalities for stochastic partial differential equations ⋮ Quadratic transportation inequalities for SDEs with measurable drift
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Transportation cost inequalities for neutral functional stochastic equations
- Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
- Transportation-cost inequalities for diffusions driven by Gaussian processes
- From concentration to logarithmic Sobolev and Poincaré inequalities
- Equilibrium fluctuation of the Atlas model
- Concentration of the information in data with log-concave distributions
- Concentration inequalities for order statistics
- Concentration inequalities and model selection. Ecole d'Eté de Probabilités de Saint-Flour XXXIII -- 2003.
- Transportation inequalities for stochastic delay evolution equations driven by fractional Brownian motion
- Propagation of chaos and Poincaré inequalities for a system of particles interacting through their CDF
- Stochastic differential equations with reflecting boundary condition in convex regions
- Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
- Measure concentration for a class of random processes
- Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
- The notion of convexity and concavity on Wiener space
- Transportation inequalities for stochastic heat equations
- Transportation inequalities for neutral stochastic differential equations driven by fractional Brownian motion with Hurst parameter lesser than \(1/2\)
- Infinite systems of competing Brownian particles
- SPDE limit of the global fluctuations in rank-based models
- Uniqueness for diffusions with piecewise constant coefficients
- Concentration of measure inequalities for Markov chains and \(\Phi\)-mixing processes.
- Transportation cost-information inequalities and applications to random dynamical systems and diffusions.
- Concentration of measure and isoperimetric inequalities in product spaces
- A measure concentration inequality for contracting Markov chains
- Transportation cost for Gaussian and other product measures
- Concentration for multidimensional diffusions and their boundary local times
- Convergence rates for rank-based models with applications to portfolio theory
- Strong solutions of stochastic equations with rank-based coefficients
- Talagrand concentration inequalities for stochastic partial differential equations
- Mean field games via controlled martingale problems: existence of Markovian equilibria
- One-dimensional Brownian particle systems with rank-dependent drifts
- A phase transition behavior for Brownian motions interacting through their ranks
- Talagrand's \(T_2\)-transportation inequality and log-Sobolev inequality for dissipative SPDEs and applications to reaction-diffusion equations
- Atlas models of equity markets
- Concentration of measure for Brownian particle systems interacting through their ranks
- Triple and simultaneous collisions of competing Brownian particles
- Concentration inequalities for Markov chains by Marton couplings and spectral methods
- Bounding \(\bar d\)-distance by informational divergence: A method to prove measure concentration
- Large Deviations for Diffusions Interacting Through Their Ranks
- Concentration of Measure Inequalities in Information Theory, Communications, and Coding
- Semi Log-Concave Markov Diffusions
- Two-Sided Infinite Systems of Competing Brownian Particles
- Transport Inequalities. A Survey
- Brownian Particles with Rank‐Dependent Drifts: Out‐of‐Equilibrium Behavior
- Transportation Cost Inequalities for Diffusions Under Uniform Distance
- Concentration of Measure for the Analysis of Randomized Algorithms
- A note on Talagrand's transportation inequality and logarithmic Sobolev inequality
This page was built for publication: A note on transportation cost inequalities for diffusions with reflections
