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Quadratic transportation inequalities for SDEs with measurable drift

Abstract : Let X be the solution of the multidimensional stochastic differential equation dX(t) = b(t, X(t)) dt + sigma(t, X(t)) dW(t)\, with X(0)=x where W is a standard Brownian motion. We show that when b is measurable and sigma is in an appropriate Sobolev space, the law of X satisfies a uniform quadratic transportation inequality.
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https://hal-univ-tln.archives-ouvertes.fr/hal-02501467
Contributor : Khaled Bahlali <>
Submitted on : Friday, March 6, 2020 - 9:09:13 PM
Last modification on : Monday, March 9, 2020 - 4:03:59 PM
Long-term archiving on: : Sunday, June 7, 2020 - 4:04:29 PM

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Khaled Bahlali, Soufiane Mouchtabih, Ludovic Tangpi. Quadratic transportation inequalities for SDEs with measurable drift. 2020. ⟨hal-02501467⟩

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