Transportation cost inequalities for diffusions under uniform distance
Probability
2010-11-05 v3 Mathematical Physics
Functional Analysis
math.MP
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.
Keywords
Cite
@article{arxiv.1009.5251,
title = {Transportation cost inequalities for diffusions under uniform distance},
author = {Ali Suleyman Ustunel},
journal= {arXiv preprint arXiv:1009.5251},
year = {2010}
}