Transportation inequalities for stochastic differential equations of pure jumps

Liming Wu

Annales de l'I.H.P. Probabilités et statistiques (2010)

  • Volume: 46, Issue: 2, page 465-479
  • ISSN: 0246-0203

Abstract

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For stochastic differential equations of pure jumps, though the Poincaré inequality does not hold in general, we show that W1H transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the L1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.

How to cite

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Wu, Liming. "Transportation inequalities for stochastic differential equations of pure jumps." Annales de l'I.H.P. Probabilités et statistiques 46.2 (2010): 465-479. <http://eudml.org/doc/241053>.

@article{Wu2010,
abstract = {For stochastic differential equations of pure jumps, though the Poincaré inequality does not hold in general, we show that W1H transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the L1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.},
author = {Wu, Liming},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {transportation inequalities; stochastic differential equations; Malliavin calculus; jump processes},
language = {eng},
number = {2},
pages = {465-479},
publisher = {Gauthier-Villars},
title = {Transportation inequalities for stochastic differential equations of pure jumps},
url = {http://eudml.org/doc/241053},
volume = {46},
year = {2010},
}

TY - JOUR
AU - Wu, Liming
TI - Transportation inequalities for stochastic differential equations of pure jumps
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2010
PB - Gauthier-Villars
VL - 46
IS - 2
SP - 465
EP - 479
AB - For stochastic differential equations of pure jumps, though the Poincaré inequality does not hold in general, we show that W1H transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the L1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.
LA - eng
KW - transportation inequalities; stochastic differential equations; Malliavin calculus; jump processes
UR - http://eudml.org/doc/241053
ER -

References

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