A note on transportation cost inequalities for diffusions with reflections

Autor: Andrey Sarantsev, Soumik Pal
Rok vydání: 2019
Předmět:
Zdroj: Electron. Commun. Probab.
ISSN: 1083-589X
DOI: 10.1214/19-ecp223
Popis: 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 diffusions with suitable drifts and diffusions. 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.
10 pages. Keywords: Reflected Brownian motion, Wasserstein distance, relative entropy, transportation cost-information inequality, concentration of measure, competing Brownian particles
Databáze: OpenAIRE