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Let $X$ be a compact metric space, and fix an arbitrary point $x_\ast \in X$. By the Kantorovich-Rubinstein duality theorem, the $1$-Wasserstein metric $W_1$ on the set of Borel probability measures o …

By adapting the arguments in Sec. 3.3.6.1 of the Michel & Pardoux notes linked to by Nawaf Bou-Rabee, I think I can prove the result. (I will assume for simplicity that the SDE has global existence of …

Suppose we have a $C^\infty$ manifold $M$ and $C^\infty$ vector fields $b,\sigma_1,\ldots,\sigma_k$ on $M$, and for convenience define the set of vector fields $$ \mathcal{S} = \{b,\sigma_1,-\sigma_1, …

All the notions of convergence of measures that I know of are either in the purely measure-theoretic category (e.g. strong convergence, total variation), or in the topological category (e.g. weak conv …

I'm not so good on geometry, so I fear this is a relatively basic question. For any $N \in \mathbb{N}$, let us identify the tangent bundle of $\mathbb{R}^N$ with $\mathbb{R}^{2N}$ in the obvious manne …