  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.
