Transportation inequalities for stochastic differential equations of pure jumps

DOI10.1214/09-AIHP320zbMath1209.60015MaRDI QIDQ985330

Li-ming Wu

Publication date: 21 July 2010

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/241053

zbMATH Keywords

Malliavin calculusstochastic differential equationsjump processestransportation inequalities

Mathematics Subject Classification ID

Related Items (15)

Exponential convergence of fisher entropy for diffusion processes ⋮ Transportation inequalities for doubly perturbed stochastic differential equations with Markovian switching ⋮ Transportation cost inequalities for neutral functional stochastic equations ⋮ Transportation inequalities for stochastic delay evolution equations driven by fractional Brownian motion ⋮ Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps ⋮ Transportation inequalities for stochastic differential equations driven by the time-changed Brownian motion ⋮ A note on existence of global solutions and invariant measures for jump SDEs with locally one-sided Lipschitz drift ⋮ Talagrand inequality on free path space and application to stochastic reaction diffusion equations ⋮ Transportation cost inequality for backward stochastic differential equations with mean reflection ⋮ Functional inequalities for marked point processes ⋮ Transportation-cost inequalities for diffusions with jumps and its application to regime-switching processes ⋮ Transportation cost inequalities for stochastic reaction-diffusion equations with Lévy noises and non-Lipschitz reaction terms ⋮ Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling ⋮ Transportation cost inequalities for SDEs with irregular drifts ⋮ Stochastic Volterra equations driven by fractional Brownian motion

Cites Work

• Convex concentration inequalities and forward-backward stochastic calculus
• Quantitative concentration inequalities for empirical measures on non-compact spaces
• Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
• Harnack and functional inequalities for generalized Mehler semigroups.
• Essential spectral radius for Markov semigroups. I: Discrete time case
• Uniformly integrable operators and large deviations for Markov processes
• Generalization of an inequality by Talagrand and links with the logarithmic Sobolev inequality
• A new modified logarithmic Sobolev inequality for Poisson point processes and several applications
• The Euler scheme for Lévy driven stochastic differential equations: limit theorems.
• Transportation cost-information inequalities and applications to random dynamical systems and diffusions.
• Duality formulas on the Poisson space
• Transportation-information inequalities for Markov processes
• A large deviation approach to some transportation cost inequalities
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Transportation inequalities for stochastic differential equations of pure jumps