Transportation inequalities for stochastic differential equations of pure jumps
Wu, Liming
Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, p. 465-479 / Harvested from Project Euclid
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For stochastic differential equations of pure jumps, though the Poincaré inequality does not hold in general, we show that W1H transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the L1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.
Publié le : 2010-05-15
Classification:  Transportation inequalities,  Stochastic differential equations,  Malliavin calculus,  60E15,  60H10,  60H07 
@article{1273584131,
     author = {Wu, Liming},
     title = {Transportation inequalities for stochastic differential equations of pure jumps},
     journal = {Ann. Inst. H. Poincar\'e Probab. Statist.},
     volume = {46},
     number = {1},
     year = {2010},
     pages = { 465-479},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1273584131}
}

Wu, Liming. Transportation inequalities for stochastic differential equations of pure jumps. Ann. Inst. H. Poincaré Probab. Statist., Tome 46 (2010) no. 1, pp.  465-479. http://gdmltest.u-ga.fr/item/1273584131/