Malliavin calculus for non-colliding particle systems

Nobuaki Naganuma, Dai Taguchi

Research output: Contribution to journalArticle

Abstract

In this paper, we use Malliavin calculus to show the existence and continuity of density functions of d-dimensional non-colliding particle systems such as hyperbolic particle systems and Dyson Brownian motion with smooth drift. For this purpose, we apply results proved by Florit and Nualart (1995) and Naganuma (2013) on locally non-degenerate Wiener functionals.

Original languageEnglish
JournalStochastic Processes and their Applications
DOIs
Publication statusAccepted/In press - Jan 1 2019
Externally publishedYes

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Keywords

  • Dyson Brownian motion
  • Hyperbolic particle system
  • Malliavin calculus
  • Non-colliding particle system
  • Non-degeneracy

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

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