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arXiv · 1205.2184

Transportation Cost Inequalities for Neutral Functional Stochastic Equations

Jianhai Bao·Feng-Yu Wang·Chenggui Yuan
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Abstract

By using Girsanov transformation and martingale representation, Talagrand-type transportation cost inequalities, with respect to both the uniform and the $L^2$ distances on the global free path space, are established for the segment process associated to a class of neutral functional stochastic differential equations. Neutral functional stochastic partial differential equations are also investigated.

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Jianhai Bao, Feng-Yu Wang, Chenggui Yuan. 2012-05-10. Transportation Cost Inequalities for Neutral Functional Stochastic Equations. https://arxiv.org/abs/1205.2184

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