Bring water to a boil. Transfer dried mushrooms to a medium bowl. Cover with water and let stand 30 minutes, until mushrooms are softened. Drain liquid (and reserve) through a sieve, and slice mushrooms. Set aside.
Heat oil in medium saucepan over medium heat. Add shallots and cook until tender, about 3 to 4 minutes. Add fresh mushrooms and cook until soft, about 6 to 8 minutes. Deglaze pan with wine and
reduce liquid by half, about 3 minutes.
Meanwhile, slowly whisk cornstarch into 1 cup of mushroom liquid until smooth; set aside. Add remaining 3 cups mushroom liquid and chopped rehydrated mushrooms to gravy. Bring to a boil. Stir in cornstarch mixture and simmer until mixture thickens, about 5 to 7 minutes. Season with salt and pepper.