Translator Disclaimer
2019 A note on transportation cost inequalities for diffusions with reflections
Soumik Pal, Andrey Sarantsev
Electron. Commun. Probab. 24: 1-11 (2019). DOI: 10.1214/19-ECP223

Abstract

We prove that reflected Brownian motion with normal reflections in a convex domain satisfies a dimension free Talagrand type transportation cost-information inequality. The result is generalized to other reflected diffusion processes with suitable drift and diffusion coefficients. We apply this to get such an inequality for interacting Brownian particles with rank-based drift and diffusion coefficients such as the infinite Atlas model. This is an improvement over earlier dimension-dependent results.

Citation

Download Citation

Soumik Pal. Andrey Sarantsev. "A note on transportation cost inequalities for diffusions with reflections." Electron. Commun. Probab. 24 1 - 11, 2019. https://doi.org/10.1214/19-ECP223

Information

Received: 10 August 2018; Accepted: 7 March 2019; Published: 2019
First available in Project Euclid: 5 April 2019

zbMATH: 1416.82031
MathSciNet: MR3940196
Digital Object Identifier: 10.1214/19-ECP223

Subjects:
Primary: 60H10, 60J60, 60K35, 82C22, 91G10

JOURNAL ARTICLE
11 PAGES


SHARE
Back to Top