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Zeitschrift für Analysis und ihre Anwendungen

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Volume 32, Issue 4, 2013, pp. 457–475
DOI: 10.4171/ZAA/1494

Published online: 2013-09-19

Transportation Cost Inequalities for Neutral Functional Stochastic Equations

Jianhai Bao, Feng-Yu Wang and Chenggui Yuan

By using Girsanov transformation and martingale representation, transportation cost inequalities with respect to both the uniform and the $L^2$-distances on the global free path space are established for the segment process associated to a class of neutral functional stochastic di erential equations. Neutral functional stochastic partial di erential equations are also investigated.

Keywords: Neutral functional stochastic differential equation, transportation cost inequality, Girsanov transformation

Bao Jianhai, Wang Feng-Yu, Yuan Chenggui: Transportation Cost Inequalities for Neutral Functional Stochastic Equations. Z. Anal. Anwend. 32 (2013), 457-475. doi: 10.4171/ZAA/1494