2 papers
math.PR2018
A Note on Transportation Cost Inequalities for Diffusions with Reflections
Soumik Pal, Andrey Sarantsev
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…
math.PR2018
Dynamic Contagion in a Banking System with Births and Defaults
Tomoyuki Ichiba, Michael Ludkovski, Andrey Sarantsev
We consider a dynamic model of interconnected banks. New banks can emerge, and existing banks can default, creating a birth-and-death setup. Microscopically, banks evolve as indepe…