Talagrand's \(T_2\)-transportation inequality w.r.t. a uniform metric for diffusions (Q1884647): Difference between revisions
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scientific article
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| English | Talagrand's \(T_2\)-transportation inequality w.r.t. a uniform metric for diffusions |
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Talagrand's \(T_2\)-transportation inequality w.r.t. a uniform metric for diffusions (English)
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5 November 2004
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The authors establish an extension of Talagrand's \(T_2\) inequality for diffusions on the path space \(C([0,N],\mathbb R^d)\) with respect to a uniform metric which improves on corresponding results for the \(L^2\)-metric. The proof is based on the Girsanov transformation.
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transportation inequalities
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diffusions
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Girsanov transformation
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