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

DOI10.3150/10-BEJ324zbMATH Open1242.60056arXiv1202.6558MaRDI QIDQ408080FDOQ408080

Bruno Saussereau

Publication date: 29 March 2012

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

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Cited In (35)

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• Existence and transportation inequalities for fractional stochastic differential equations
• 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
• Bismut type derivative formulae and gradient estimate for multiplicative SDEs with fractional noises
• Transportation cost inequality for backward stochastic differential equations with mean reflection
• Bismut formulas and applications for stochastic (functional) differential equations driven by fractional Brownian motions
• Integration by Parts Formula and Applications for SDEs Driven by Fractional Brownian Motions
• Transportation inequalities for stochastic delay evolution equations driven by fractional Brownian motion
• Weak convergence of SFDEs driven by fractional Brownian motion with irregular coefficients
• Logarithmic Sobolev inequalities for fractional diffusion
• Transportation inequalities for stochastic heat equations
• Talagrand inequality on free path space and application to stochastic reaction diffusion equations
• Quadratic transportation inequalities for SDEs with measurable drift
• Transportation cost-information inequality for stochastic wave equation
• Transportation inequalities for fractional stochastic functional differential equations driven by fractional Brownian motion
• Talagrand's quadratic transportation cost inequalities for reflected SPDEs driven by space-time white noise
• Transportation inequalities for neutral stochastic differential equations driven by fractional Brownian motion with Hurst parameter lesser than \(1/2\)
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• Transportation cost inequalities for neutral functional stochastic equations
• Functional inequalities for forward and backward diffusions
• Fractional Brownian Motion withH< 1/2 as a Limit of Scheduled Traffic

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