Functional inequalities for forward and backward diffusions
| Autor: | Daniel Bartl, Ludovic Tangpi |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Girsanov theorem backward stochastic differential equation stochastic differential equation Mathematical proof 01 natural sciences logarithmic-Sobolev inequality 91G10 010104 statistics & probability Stochastic differential equation Mathematics::Probability FOS: Mathematics Applied mathematics Optimal stopping 0101 mathematics 28C20 60H20 non-smooth coefficients 60G40 Mathematics 60J60 Stochastic process quadratic transportation inequality 010102 general mathematics Probability (math.PR) Lipschitz continuity concentration of measures optimal stopping Norm (mathematics) Statistics Probability and Uncertainty 60E15 Value (mathematics) Mathematics - Probability |
| Zdroj: | Electron. J. Probab. |
| Popis: | In this article we derive Talagrand’s $T_{2}$ inequality on the path space w.r.t. the maximum norm for various stochastic processes, including solutions of one-dimensional stochastic differential equations with measurable drifts, backward stochastic differential equations, and the value process of optimal stopping problems. ¶ The proofs do not make use of the Girsanov method, but of pathwise arguments. These are used to show that all our processes of interest are Lipschitz transformations of processes which are known to satisfy desired functional inequalities. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|