Quadratic transportation inequalities for SDEs with measurable drift
Résumé
Let X be the solution of the multidimensional stochastic differential equation
dX(t) = b(t, X(t)) dt + sigma(t, X(t)) dW(t)\, with X(0)=x
where W is a standard Brownian motion.
We show that when b is measurable and sigma is in an appropriate Sobolev space, the law of X satisfies a uniform quadratic transportation inequality.
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