Transportation cost inequality for backward stochastic differential equations

DOI10.1016/J.SPL.2019.108586MaRDI QIDQ2273740zbMATH OpenOpenAlexFDO

Authors Brahim Boufoussi, Soufiane Mouchtabih, Khaled Bahlali

Publication date 25 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108586

zbMATH Keywords

backward stochastic differential equationsconcentration of measureGirsanov transformationtransportation-information inequality

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• Adapted solution of a backward stochastic differential equation
• Backward stochastic differential equations: The locally Lipschitz case
• Exponential integrability and transportation cost related to logarithmic Sobolev inequalities
• scientific article; zbMATH DE number 1909499 (Why is no real title available?)
• Hypercontractivity of Hamilton-Jacobi equations.
• Liquidity, risk measures, and concentration of measure
• Measure transport on Wiener space and the Girsanov theorem.
• Monge-Kantorovitch measure transportation and Monge-Ampère equation on Wiener space
• On the existence and uniqueness of solutions to FBSDEs in a non-degenerate case.
• Transportation cost for Gaussian and other product measures
• Transportation cost inequalities for diffusions under uniform distance
• Transportation cost-information inequalities and applications to random dynamical systems and diffusions.

Cited in

(10)

• Concentration for multidimensional diffusions and their boundary local times
• Transportation cost-information inequality for stochastic wave equation
• Transportation cost inequalities for SDEs with irregular drifts
• Errata to: ``Transportation cost inequality for backward stochastic differential equations
• An optimal transport problem with backward martingale constraints motivated by insider trading
• Functional inequalities for forward and backward diffusions
• Transportation cost inequality for backward stochastic differential equations with mean reflection
• Transportation cost inequalities for neutral functional stochastic equations
• Transportation cost inequalities for diffusions under uniform distance
• Transportation inequalities for stochastic differential equations of pure jumps

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