IDEAS home Printed from https://ideas.repec.org/a/eee/spapps/v144y2022icp288-311.html
   My bibliography  Save this article

Transportation cost inequalities for SDEs with irregular drifts

Author

Listed:
  • Suo, Yongqiang
  • Yuan, Chenggui
  • Zhang, Shao-Qin

Abstract

In this paper, the quadratic transportation cost inequality for SDEs with Dini continuous drift and the W1-transportation cost inequality for SDEs with singular coefficients are established via the stability of the Wasserstein distance and relative entropy of measures under the homeomorphism induced by Zvonkin’s transformation.

Suggested Citation

  • Suo, Yongqiang & Yuan, Chenggui & Zhang, Shao-Qin, 2022. "Transportation cost inequalities for SDEs with irregular drifts," Stochastic Processes and their Applications, Elsevier, vol. 144(C), pages 288-311.
  • Handle: RePEc:eee:spapps:v:144:y:2022:i:c:p:288-311
    DOI: 10.1016/j.spa.2021.11.007
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0304414921001885
    Download Restriction: Full text for ScienceDirect subscribers only

    File URL: https://libkey.io/10.1016/j.spa.2021.11.007?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Xia, Pengcheng & Xie, Longjie & Zhang, Xicheng & Zhao, Guohuan, 2020. "Lq(Lp)-theory of stochastic differential equations," Stochastic Processes and their Applications, Elsevier, vol. 130(8), pages 5188-5211.
    2. Ma, Yutao, 2010. "Transportation inequalities for stochastic differential equations with jumps," Stochastic Processes and their Applications, Elsevier, vol. 120(1), pages 2-21, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Fan, Xiliang & Huang, Xing & Suo, Yongqiang & Yuan, Chenggui, 2022. "Distribution dependent SDEs driven by fractional Brownian motions," Stochastic Processes and their Applications, Elsevier, vol. 151(C), pages 23-67.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Ren, Panpan, 2023. "Singular McKean–Vlasov SDEs: Well-posedness, regularities and Wang’s Harnack inequality," Stochastic Processes and their Applications, Elsevier, vol. 156(C), pages 291-311.
    2. Wang, Feng-Yu, 2023. "Exponential ergodicity for singular reflecting McKean–Vlasov SDEs," Stochastic Processes and their Applications, Elsevier, vol. 160(C), pages 265-293.
    3. Dai, Yin & Li, Ruinan, 2021. "Transportation cost inequality for backward stochastic differential equations with mean reflection," Statistics & Probability Letters, Elsevier, vol. 177(C).
    4. Wu, Mingyan & Hao, Zimo, 2023. "Well-posedness of density dependent SDE driven by α-stable process with Hölder drifts," Stochastic Processes and their Applications, Elsevier, vol. 164(C), pages 416-442.
    5. Torrisi, Giovanni Luca, 2020. "Concentration inequalities for stochastic differential equations of pure non-Poissonian jumps," Stochastic Processes and their Applications, Elsevier, vol. 130(10), pages 6445-6479.
    6. Dejun Luo, 2015. "Quasi-invariance of the Stochastic Flow Associated to Itô’s SDE with Singular Time-Dependent Drift," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1743-1762, December.
    7. Xie, Longjie & Yang, Li, 2022. "The Smoluchowski–Kramers limits of stochastic differential equations with irregular coefficients," Stochastic Processes and their Applications, Elsevier, vol. 150(C), pages 91-115.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:spapps:v:144:y:2022:i:c:p:288-311. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/505572/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.