Transportation inequalities for stochastic differential equations of pure jumps

doi:10.1214/09-AIHP320

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	Transportation inequalities for stochastic differential equations of pure jumps
	Wu, Liming 1,2
	2010-05-01
发表期刊	ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES
ISSN	0246-0203
卷号	46 期号:2 页码:465-479
摘要	For stochastic differential equations of pure jumps, though the Poincare inequality does not hold in general, we show that W-1 H transportation inequalities hold for its invariant probability measure and for its process-level law on right continuous paths space in the L-1-metric or in uniform metrics, under the dissipative condition. Several applications to concentration inequalities are given.
关键词	Transportation inequalities Stochastic differential equations Malliavin calculus
DOI	10.1214/09-AIHP320
语种	英语
WOS研究方向	Mathematics
WOS类目	Statistics & Probability
WOS记录号	WOS:000283528000007
出版者	INST MATHEMATICAL STATISTICS
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/10682
专题	中国科学院数学与系统科学研究院
通讯作者	Wu, Liming
作者单位	1.Univ Clermont Ferrand, Lab Math Appl, CNRS, UMR 6620, F-63177 Aubiere, France 2.Chinese Acad Sci, Inst Appl Math, AMSS, Beijing 100190, Peoples R China
推荐引用方式 GB/T 7714	Wu, Liming. Transportation inequalities for stochastic differential equations of pure jumps[J]. ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,2010,46(2):465-479.
APA	Wu, Liming.(2010).Transportation inequalities for stochastic differential equations of pure jumps.ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES,46(2),465-479.
MLA	Wu, Liming."Transportation inequalities for stochastic differential equations of pure jumps".ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES 46.2(2010):465-479.