Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion

DOI10.3150/10-BEJ324MaRDI QIDQ408080zbMATH OpenFDO

Authors Bruno Saussereau

Publication date 29 March 2012

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1202.6558

zbMATH Keywords

fractional Brownian motionstochastic differential equationsfractional calculustransportation inequalities

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Abstract: We establish Talagrand's $T_1$ and $T_2$ inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter $H>1/2$. We use the $L^2$ metric and the uniform metric on the path space of continuous functions on $[0,T]$. These results are applied to study small-time and large-time asymptotics for the solutions of such equations by means of a Hoeffding-type inequality.

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Cited in

(46)

• Transportation inequalities for coupled systems of stochastic delay evolution equations with a fractional Brownian motion
• Transportation inequalities for stochastic heat equation with rough dependence in space
• Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise
• Existence and transportation inequalities for fractional stochastic differential equations
• Regularity of laws for distribution dependent SDEs with fractional noises
• Transportation cost inequality for backward stochastic differential equations with mean reflection
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