Talagrand Concentration Inequalities for Stochastic Partial Differential Equations

Davar Khoshnevisan; Andrey Sarantsev

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arXiv · 1709.07098

Talagrand Concentration Inequalities for Stochastic Partial Differential Equations

Davar Khoshnevisan·Andrey Sarantsev

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Abstract

One way to define the concentration of measure phenomenon is via Talagrand inequalities, also called transportation-information inequalities. That is, a comparison of the Wasserstein distance from the given measure to any other absolutely continuous measure with finite relative entropy. Such transportation-information inequalities were recently established for some stochastic differential equations. Here, we develop a similar theory for some stochastic partial differential equations.

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Davar Khoshnevisan, Andrey Sarantsev. 2017-09-20. Talagrand Concentration Inequalities for Stochastic Partial Differential Equations. https://arxiv.org/abs/1709.07098

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