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Transportation-cost inequalities for diffusions driven by Gaussian processes
We prove transportation-cost inequalities for the law of SDE solutions driven
by general Gaussian processes. Examples include the fractional Brownian motion,
but also more general processes like bifractional Brownian motion. In case of
multiplicative noise, our main tool is Lyons' rough paths theory. We also give
a new proof of Talagrand's transportation-cost inequality on Gaussian Fr\'echet
spaces. We finally show that establishing transportation-cost inequalities
implies that there is an easy criterion for proving Gaussian tail estimates for
functions defined on that space. This result can be seen as a further
generalization of the "generalized Fernique theorem" on Gaussian spaces
[Friz-Hairer 2014; Theorem 11.7] used in rough paths theory.Comment: The paper was completely revised. In particular, we gave a new proof
for Theorem 1.
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