4 citations · 4 across the 2 of their papers we have counts for
3 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…
math.PR2017★ 4 cited
Convergence and Stationary Distributions for Walsh Diffusions
Tomoyuki Ichiba, Andrey Sarantsev
A Walsh diffusion on Euclidean space moves along each ray from the origin, as a solution to a stochastic differential equation with certain drift and diffusion coefficients, as lon…