Malliavin calculus for non-colliding particle systems

Nobuaki Naganuma and Dai Taguchi

Stochastic Processes and their Applications, 2020, vol. 130, issue 4, 2384-2406

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.

Keywords: Dyson Brownian motion; Hyperbolic particle system; Non-colliding particle system; Malliavin calculus; Non-degeneracy (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1016/j.spa.2019.07.005

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