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.

Primary: 60H07, Secondary: 82C22, 65C30

Original languageEnglish
JournalUnknown Journal
Publication statusPublished - Mar 12 2018
Externally publishedYes

Keywords

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

ASJC Scopus subject areas

  • General

Fingerprint Dive into the research topics of 'Malliavin calculus for non-colliding particle systems'. Together they form a unique fingerprint.

Cite this