Transportation cost-information inequalities and applications to random dynamical systems and diffusions.
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random dynamical systemsdiffusionsGirsanov's transformationstransportation cost-information inequalities
Gaussian processes (60G15) Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Measures and integrals in product spaces (28A35)
Abstract: We first give a characterization of the L^1-transportation cost-information inequality on a metric space and next find some appropriate sufficient condition to transportation cost-information inequalities for dependent sequences. Applications to random dynamical systems and diffusions are studied.
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Cited in
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- Causal transport in discrete time and applications
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- Stochastic evolutionary \(p\)-Laplace equation: large deviation principles and transportation cost inequality
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