Titel
Functional inequalities for forward and backward diffusions
Autor*in
Daniel Bartl
Autor*in
Ludovic Tangpi
Princeton University
Abstract
In this article we derive Talagrand’s T2 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.
Stichwort
backward stochastic differential equationconcentration of measureslogarithmic-Sobolev inequalitynon-smooth coefficientsOptimal stoppingquadratic transportation inequalityStochastic differential equation
Objekt-Typ
Sprache
Englisch [eng]
Persistent identifier
https://phaidra.univie.ac.at/o:1422882
Erschienen in
Titel
Electronic Journal of Probability
Band
25
ISSN
1083-6489
Erscheinungsdatum
2020
Verlag
Institute of Mathematical Statistics
Projektnummer
P28661 – Austrian Science Fund (FWF)
Projektnummer
MA16-021 – Vienna Science and Technology Fund (WWTF)
Erscheinungsdatum
2020
Zugänglichkeit

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