Transportation-cost inequalities for diffusions with jumps and its application to regime-switching processes

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.