Elton Hsu : Transportation Cost Inequality for Gaussian Measure and Coupling of Brownian Motion

Posted by Jie Yang , part of the Statistics and Data Science Seminar.

At

Nov. 9, 2011, 4 p.m.

In

SEO 636

Abstract

We will show how to use synchronizing Brownian motion to prove Talagrand's transportation cost inequality for the standard Gaussian measure. This proof can be readily generalized to a generalization of this inequality to the heat kernel measure on a Riemannian manifold using the synchronizing coupling of Riemannian Brownian motion.