混合型随机微分方程的传输不等式

Abstract

Abstract:

In this paper, we discuss a class of stochastic differential equations containing both Wiener process and fractional Brownian motion with Hurst parameter $1/2<H<1$. By using some transformation technique and approximation argument, we establish the quadratic transportation inequalities for the law of the solution of the equations under investigation under the $d_2$ metric and the uniform metric $d_{\infty}$.

Key words: Transportation inequalities, Mixed stochastic differential equations, Fractional Brownian motion, Pathwise integral

CLC Number:

O221

Liping Xu,Zhi Li. Transportation Inequalities for Mixed Stochastic Differential Equations[J].Acta mathematica scientia,Series A, 2021, 41(1): 227-236.

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References 24

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Transportation Inequalities for Mixed Stochastic Differential Equations

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