Transportation Cost Inequalities for Neutral Functional Stochastic   Equations
  By using Girsanov transformation and martingale representation,   Talagrand-type transportation cost inequalities, with respect to both the uniform and the $L^2$ distances on the global free path space, are established for the segment process associated to a class of neutral functional stochastic differential equations. Neutral functional stochastic partial differential equations are also investigated. 
Jianhai Bao, Feng-Yu Wang, Chenggui Yuan
math.PR