Transportation inequalities for stochastic differential equations of pure jumps
Liming Wu (2010)
Annales de l'I.H.P. Probabilités et statistiques
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For stochastic differential equations of pure jumps, though the Poincaré inequality does not hold in general, we show that 1 transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the 1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.