Transportation-cost inequalities for diffusions driven by Gaussian processes

DOI10.1214/17-EJP40MaRDI QIDQ516102zbMATH OpenFDO

Authors Sebastian Riedel

Publication date 21 March 2017

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1403.2585, https://projecteuclid.org/euclid.ejp/1488596710

zbMATH Keywords

Gaussian processesbifractional Brownian motionstochastic differential equationsrough pathsconcentration of measuretransportation inequalities

Mathematics Subject Classification ID

Large deviations (60F10) Gaussian processes (60G15) 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)

Abstract: We prove transportation-cost inequalities for the law of SDE solutions driven by general Gaussian processes. Examples include the fractional Brownian motion, but also more general processes like bifractional Brownian motion. In case of multiplicative noise, our main tool is Lyons' rough paths theory. We also give a new proof of Talagrand's transportation-cost inequality on Gaussian Fr'echet spaces. We finally show that establishing transportation-cost inequalities implies that there is an easy criterion for proving Gaussian tail estimates for functions defined on that space. This result can be seen as a further generalization of the "generalized Fernique theorem" on Gaussian spaces [Friz-Hairer 2014; Theorem 11.7] used in rough paths theory.

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Cited in

(12)

• Functional inequalities for forward and backward diffusions
• Transportation cost-information inequality for stochastic wave equation
• Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise
• Concentration inequalities for stochastic differential equations with additive fractional noise
• scientific article; zbMATH DE number 7141635 (Why is no real title available?)
• A note on transportation cost inequalities for diffusions with reflections
• Talagrand's quadratic transportation cost inequalities for reflected SPDEs driven by space-time white noise
• Talagrand's \(T_2\)-transportation inequality w.r.t. a uniform metric for diffusions
• Small ball probabilities, metric entropy and Gaussian rough paths
• Transportation inequalities for stochastic heat equation with rough dependence in space
• Quadratic transportation inequalities for SDEs with measurable drift
• Asymptotics for transportation cost in high dimensions

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