Infinite-dimensional stochastic differential equations related to Bessel random point fields

Ryuichi Honda and Hirofumi Osada

Stochastic Processes and their Applications, 2015, vol. 125, issue 10, 3801-3822

Abstract: We solve the infinite-dimensional stochastic differential equations (ISDEs) describing an infinite number of Brownian particles in R+ interacting through the two-dimensional Coulomb potential. The equilibrium states of the associated unlabeled stochastic dynamics are Bessel random point fields. To solve these ISDEs, we calculate the logarithmic derivatives, and prove that the random point fields are quasi-Gibbsian.

Keywords: Interacting Brownian particles; Bessel random point fields; Random matrices; Infinite-dimensional stochastic differential equations; Coulomb potentials; Hard edge scaling limit (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1016/j.spa.2015.05.005

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