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Journal Articles Proceedings of the American Mathematical Society Year : 2021

Quadratic transportation inequalities for SDEs with measurable drift

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Soufiane Mouchtabih
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  • PersonId : 1065974
Ludovic Tangpi
  • Function : Author
  • PersonId : 1065975

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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hal-02501467 , version 1 (06-03-2020)

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Khaled Bahlali, Soufiane Mouchtabih, Ludovic Tangpi. Quadratic transportation inequalities for SDEs with measurable drift. Proceedings of the American Mathematical Society, 2021, ⟨10.1090/proc/15477⟩. ⟨hal-02501467⟩
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