Transportation-cost inequalities for diffusions driven by Gaussian processes

DOI10.1214/17-EJP40zbMath1373.60072arXiv1403.2585MaRDI QIDQ516102

Sebastian Riedel

Publication date: 21 March 2017

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.2585

zbMATH Keywords

Gaussian processesstochastic differential equationsconcentration of measurerough pathsbifractional Brownian motiontransportation inequalities

Mathematics Subject Classification ID

Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Large deviations (60F10) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20)

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Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise ⋮ A note on transportation cost inequalities for diffusions with reflections ⋮ Functional inequalities for forward and backward diffusions ⋮ Small ball probabilities, metric entropy and Gaussian rough paths ⋮ Transportation cost-information inequality for stochastic wave equation ⋮ Concentration inequalities for stochastic differential equations with additive fractional noise ⋮ Talagrand's quadratic transportation cost inequalities for reflected SPDEs driven by space-time white noise ⋮ Quadratic transportation inequalities for SDEs with measurable drift ⋮ Transportation inequalities for stochastic heat equation with rough dependence in space

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