Transportation cost inequalities for diffusions under uniform distance
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🧮 math.PR
math-phmath.FAmath.MP
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transportationuniformapplycoefficientscostdifferentialdiffusiondiffusions
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We prove the transportation inequality with the uniform norm for the laws of diffusion processes with Lipschitz and/or dissipative coefficients and apply them to some singular stochastic differential equations of interest.
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