On squared Bessel particle systems

DOI10.3150/17-BEJ997zbMath1459.60124arXiv1707.06295OpenAlexW2962843286MaRDI QIDQ1740510

Piotr Graczyk, Jacek Małecki

Publication date: 30 April 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1707.06295

zbMATH Keywords

stochastic differential equationparticle systemWishart processsquared Bessel processnon-colliding solution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Diffusion processes (60J60)

Related Items (5)

Universality classes for general random matrix flows ⋮ Strong solutions to a beta-Wishart particle system ⋮ High-dimensional central limit theorems for a class of particle systems ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ Eigenvalue processes of Elliptic Ginibre Ensemble and their overlaps

Cites Work

• Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
• Wishart processes
• Diffusions of perturbed principal component analysis
• Interacting Brownian particles and the Wigner law
• A survey and some generalizations of Bessel processes
• A characterization of Wishart processes and Wishart distributions
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Strong solutions of non-colliding particle systems
• On the uniqueness of solutions of stochastic differential equations
• Bessel Processes, Schramm–Loewner Evolution, and the Dyson Model
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
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