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2020 Functional inequalities for forward and backward diffusions
Daniel Bartl, Ludovic Tangpi
Electron. J. Probab. 25: 1-22 (2020). DOI: 10.1214/20-EJP495

Abstract

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.

Citation

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Daniel Bartl. Ludovic Tangpi. "Functional inequalities for forward and backward diffusions." Electron. J. Probab. 25 1 - 22, 2020. https://doi.org/10.1214/20-EJP495

Information

Received: 3 October 2019; Accepted: 4 July 2020; Published: 2020
First available in Project Euclid: 11 August 2020

zbMATH: 07252726
MathSciNet: MR4136474
Digital Object Identifier: 10.1214/20-EJP495

Subjects:
Primary: 28C20, 60E15, 60G40, 60H20, 60J60, 91G10

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