Transportation Cost Inequalities for Neutral Functional Stochastic Equations
Jianhai Bao
Swansea University, Singleton Park, UKFeng-Yu Wang
Swansea University, Singleton Park, UKChenggui Yuan
Swansea University, Singleton Park, UK
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Abstract
By using Girsanov transformation and martingale representation, transportation cost inequalities with respect to both the uniform and the -distances on the global free path space are established for the segment process associated to a class of neutral functional stochastic differential equations. Neutral functional stochastic partial differential equations are also investigated.
Cite this article
Jianhai Bao, Feng-Yu Wang, Chenggui Yuan, Transportation Cost Inequalities for Neutral Functional Stochastic Equations. Z. Anal. Anwend. 32 (2013), no. 4, pp. 457–475
DOI 10.4171/ZAA/1494