Transportation cost-information inequalities and applications to random dynamical systems and diffusions
H. Djellout, A. Guillin, and L. Wu
Source: Ann. Probab. Volume 32, Number 3B
(2004), 2702-2732.
Abstract
We first give a characterization of the L1-transportation cost-information inequality on a metric space and next find some appropriate sufficient condition to transportation cost-information inequalities for dependent sequences. Applications to random dynamical systems and diffusions are studied.
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Keywords: Transportation cost-information inequalities; random dynamical systems; diffusions; Girsanov’s transformation
Full-text: Open access
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Permanent link to this document: http://projecteuclid.org/euclid.aop/1091813628
Digital Object Identifier: doi:10.1214/009117904000000531
Mathematical Reviews number (MathSciNet): MR2078555
Zentralblatt MATH identifier: 02121711
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