Annals of Probability

Transportation cost-information inequalities and applications to random dynamical systems and diffusions

H. Djellout, A. Guillin, and L. Wu

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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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Ann. Probab., Volume 32, Number 3B (2004), 2702-2732.

First available in Project Euclid: 6 August 2004

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Primary: 28A35: Measures and integrals in product spaces 28C20: Set functions and measures and integrals in infinite-dimensional spaces (Wiener measure, Gaussian measure, etc.) [See also 46G12, 58C35, 58D20, 60B11] 60E15: Inequalities; stochastic orderings 60G15: Gaussian processes 60G99: None of the above, but in this section 60H10: Stochastic ordinary differential equations [See also 34F05] 60J60: Diffusion processes [See also 58J65]

Transportation cost-information inequalities random dynamical systems diffusions Girsanov’s transformation


Djellout, H.; Guillin, A.; Wu, L. Transportation cost-information inequalities and applications to random dynamical systems and diffusions. Ann. Probab. 32 (2004), no. 3B, 2702--2732. doi:10.1214/009117904000000531.

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