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• W2950074023 abstract "We prove that probability laws of certain multidimensional semimartingales which includes time-inhomogenous diffusions, under suitable assumptions, satisfy Quadratic Transportation Cost Inequality under the uniform metric. From this we derive concentration properties of Lipschitz functions of process paths that depend on the entire history. In particular, we estimate concentration of boundary local time of reflected Brownian motions on a polyhedral domain. We work out explicit applications of consequences of measure concentration for the case of Brownian motion with rank-based drifts." @default.
• W2950074023 created "2019-06-27" @default.
• W2950074023 creator A5061400083 @default.
• W2950074023 date "2010-05-12" @default.
• W2950074023 modified "2023-09-27" @default.
• W2950074023 title "Concentration for multidimensional diffusions and their boundary local times" @default.
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• W2950074023 hasPublicationYear "2010" @default.
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