Malliavin calculus for non-colliding particle systems

Nobuaki Naganuma; Dai Taguchi

Malliavin calculus for non-colliding particle systems

Nobuaki Naganuma, Dai Taguchi

Research output: Contribution to journal › Article › peer-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 language	English
Journal	Unknown Journal
Publication status	Published - Mar 12 2018
Externally published	Yes

Keywords

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

ASJC Scopus subject areas

General

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title = "Malliavin calculus for non-colliding particle systems",

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",

keywords = "Dyson Brownian motion, Hyperbolic particle system, Malliavin calculus, Non-colliding particle system, Non-degeneracy",

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AU - Taguchi, Dai

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N2 - 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

AB - 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

KW - Dyson Brownian motion

KW - Hyperbolic particle system

KW - Malliavin calculus

KW - Non-colliding particle system

KW - Non-degeneracy

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