A note on transportation cost inequalities for diffusions with reflections
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Publication:2631816
Wasserstein distancerelative entropyreflected Brownian motionconcentration of measurecompeting Brownian particlestransportation cost-information inequality
Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Portfolio theory (91G10) Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting particle systems in time-dependent statistical mechanics (82C22)
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 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.
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Cited in
(11)- Transportation cost inequality for backward stochastic differential equations with mean reflection
- Transportation inequality for the mean reflected stochastic differential equation
- Concentration for multidimensional diffusions and their boundary local times
- Quadratic transportation inequalities for SDEs with measurable drift
- Transportation cost-information inequality for stochastic wave equation
- Dimension-free local convergence and perturbations for reflected Brownian motions
- Talagrand concentration inequalities for stochastic heat-type equations under uniform distance
- Talagrand concentration inequalities for stochastic partial differential equations
- Quadratic transportation cost inequality for scalar stochastic conservation laws
- Convergence rate to equilibrium in Wasserstein distance for reflected jump-diffusions
- A transportation inequality for reflected SPDEs on infinite spatial domain
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