Transportation Cost Inequalities for Neutral Functional Stochastic Equations
Probability
2012-05-11 v1
Abstract
By using Girsanov transformation and martingale representation, Talagrand-type transportation cost inequalities, with respect to both the uniform and the distances on the global free path space, are established for the segment process associated to a class of neutral functional stochastic differential equations. Neutral functional stochastic partial differential equations are also investigated.
Keywords
Cite
@article{arxiv.1205.2184,
title = {Transportation Cost Inequalities for Neutral Functional Stochastic Equations},
author = {Jianhai Bao and Feng-Yu Wang and Chenggui Yuan},
journal= {arXiv preprint arXiv:1205.2184},
year = {2012}
}
Comments
19 pages