A large deviation approach to some transportation cost inequalities
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Publication:2641905
Abstract: New transportation cost inequalities are derived by means of elementary large deviation reasonings. Their dual characterization is proved; this provides an extension of a well-known result of S. Bobkov and F. G"{o}tze. Their tensorization properties are investigated. Sufficient conditions (and necessary conditions too) for these inequalities are stated in terms of the integrability of the reference measure. Applying these results leads to new deviation results: concentration of measure and deviations of empirical processes.
Let \(c:\mathcal X \times \mathcal X \rightarrow [0, \infty) \) be a measurable function on the product space \(\mathcal X \times \mathcal X.\) For any two probability measures \(\mu \) and \(\nu\) on \(\mathcal X,\) the transporation cost (associated with the cost function \(c\)) of \(\mu\) on \(\nu\) is \(T_c(\mu, \nu)= \inf_\pi \int_{\mathcal X \times \mathcal X }c(x,y) \,\pi(dx,dy)\) where the infimum is taken over all the probability measures \(\pi\) on \(\mathcal X \times \mathcal X\) with the first marginal \(\pi(dx \times \mathcal X) = \mu(dx) \) and the second marginal \(\pi(\mathcal X \times dy)= \nu(dy).\) The authors obtain bounds on the transportion costs \(T_c\) by means of large deviation reasonings extending the work of \textit{S. G. Bobkov} and \textit{F. Götze} [J. Funct. Anal. 163, 1--28 (1999; Zbl 0924.46027)] and others.
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