Transportation Cost Inequalities for Neutral Functional SDEs
Jianhai Bao, Chenggui Yuan
TL;DR
This paper establishes quadratic transportation cost inequalities for a class of neutral functional stochastic differential equations, both finite and infinite-dimensional, using Girsanov transformation under various metrics.
Contribution
It introduces new transportation inequalities for neutral functional SDEs and SPDEs, expanding the understanding of their probabilistic properties.
Findings
Quadratic transportation cost inequalities are proved for finite-dimensional neutral functional SDEs.
The inequalities are extended to infinite-dimensional neutral functional SPDEs.
Different metrics are employed to establish these inequalities.
Abstract
A class of functional differential equations are investigated. Using the Girsanov-transformation argument we establish the quadratic transportation cost inequalities for a class of finite-dimensional neutral functional stochastic differential equations and infinite-dimensional neutral functional stochastic partial differential equations under different metrics.
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Taxonomy
TopicsStochastic processes and financial applications · Geometric Analysis and Curvature Flows · Nonlinear Partial Differential Equations