Malliavin calculus for non-colliding particle systems

Nobuaki Naganuma, Dai Taguchi

Research output: Contribution to journalArticlepeer-review

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
Pages (from-to)2384-2406
Number of pages23
JournalStochastic Processes and their Applications
Volume130
Issue number4
DOIs
Publication statusPublished - Apr 2020
Externally publishedYes

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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