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Results tagged with stochastic-calculus
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user 229904
Stochastic calculus provides a consistent theory of integration for stochastic processes and is used to model random systems. Its applications range from statistical physics to quantitative finance.
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Is there an analogue of transportation-cost inequality under a weighted Log-Sobolev Inequality?
It is known that under the Log-Sobolev Inequality for $\pi$, i.e., if for all $\rho$,
$$H_\pi(\rho):=\int \rho(x)\log\frac{\rho(x)}{\pi(x)}dx \leq \frac{1}{2\beta}\int \rho(x)\left\|\nabla \log\frac{\ …
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