Transportation inequalities for non-globally dissipative SDEs with jumps via Malliavin calculus and coupling (Q2291964)

In this paper, the author considers the following stochastic differential equation \[ dX_t = b(X_t) dt + \sigma(X_t) dW_t + \int_U g(X_{t-}, u) \tilde{N} (dt,du), \] where \(W_t\) is an \(m\)-dimensional Brownian motion and \(\tilde{N} (dt,du) = N(dt,du) - dt \nu (du)\) is a compensated Poisson random measure on \(\mathbb{R}_+ \times U\). By using the mirror coupling for solutions of SDEs driven by pure jump Levy processes, the author extends some transportation and concentration inequalities. The author also develops a novel method of bounding Malliavin derivatives of solutions of SDEs with both jump and Gaussian noise.