Transportation cost inequalities for diffusions under uniform distance

DOI10.1007/978-3-642-29982-7_9zbMATH Open1321.60158arXiv1009.5251OpenAlexW3025278745MaRDI QIDQ5261214FDOQ5261214

Authors: A. S. Üstünel 

Publication date: 2 July 2015

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Abstract: We prove the transportation inequality with the uniform norm for the laws of diffusion processes with Lipschitz and/or dissipative coefficients and apply them to some singular stochastic differential equations of interest.

Full work available at URL: https://arxiv.org/abs/1009.5251

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zbMATH Keywords

entropyWasserstein distancediffusion processessingular stochastic differential equationstransport inequalitydissipative functions

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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• Quadratic transportation cost inequality for scalar stochastic conservation laws
• A note on transportation cost inequalities for diffusions with reflections
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• Transportation cost inequality for backward stochastic differential equations
• Hierarchies, entropy, and quantitative propagation of chaos for mean field diffusions
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• From the master equation to mean field game limit theory: large deviations and concentration of measure
• Transportation cost inequalities for SDEs with irregular drifts
• An explicit bound on the transportation cost distance
• Functional inequalities for forward and backward diffusions

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