A note on Harnack and Transportation inequalities For Stochastic Differential Equations with reflections
Abstract
We establish transportation cost inequalities, with respect to the uniform and L2-metric, on the path space of continuous functions, for laws of solutions of stochastic differential equations with reflections. We also consider the case of stochastic differential equations involving local times. Harnack inequalities for the associated semigroups are also established.
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