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

bifractional Brownian motionconcentration of measureGaussian processesrough pathsstochastic differential equationstransportation inequalities

Mathematics Subject Classification ID

Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) (28C20) Large deviations (60F10) Gaussian processes (60G15) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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

(16)

• Asymptotics for transportation cost in high dimensions
• Talagrand's T₂-transportation inequality w.r.t. a uniform metric for diffusions
• Transportation cost-information inequality for stochastic wave equation
• Transportation inequalities for stochastic heat equation with rough dependence in space
• Functional inequalities for forward and backward diffusions
• Small ball probabilities, metric entropy and Gaussian rough paths
• Concentration inequalities for stochastic differential equations with additive fractional noise
• Talagrand's quadratic transportation cost inequalities for reflected SPDEs driven by space-time white noise
• A note on transportation cost inequalities for diffusions with reflections
• Quadratic transportation inequalities for SDEs with measurable drift
• scientific article; zbMATH DE number 7141635 (Why is no real title available?)
• Time-space fractional stochastic Ginzburg-Landau equations: global solvability, Sobolev-Hölder regularity, and Talagrand's transportation inequality
• On distribution dependent BSDEs driven by Gaussian processes
• Quadratic transportation cost inequalities for a space-time fractional stochastic heat equation with fractional noise
• Transportation cost-information inequality for stochastic wave equation with spatially inhomogeneous white noise
• Transportation inequalities under uniform metric for a stochastic heat equation driven by time-white and space-colored noise

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