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arXiv · 1803.04136

Malliavin Calculus for Non-colliding Particle Systems

Nobuaki Naganuma·Dai Taguchi
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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.

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Nobuaki Naganuma, Dai Taguchi. 2018-03-12. Malliavin Calculus for Non-colliding Particle Systems. https://arxiv.org/abs/1803.04136

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