Journal
JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS
Volume 425, Issue 2, Pages 632-654Publisher
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.jmaa.2014.12.060
Keywords
Transportation-cost inequalities; Regime-switching processes; Wasserstein distance; SDEs with jumps
Categories
Funding
- NSFC [11301030]
- NNSFC [11431014]
- 985-project
- Beijing Higher Education Young Elite Teacher
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By using the Malliavin calculus, we establish the T-1 transportation-cost inequalities for stochastic differential equations with jumps, which generalizes the results in [14]. As an application, we establish the T-1 transportation-cost inequalities for regimeswitching diffusion processes. (C) 2015 Elsevier Inc. All rights reserved.
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