On collisions of Brownian particles
Probability
2010-10-19 v3
Abstract
We examine the behavior of Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient conditions are established for the absence and for the presence of triple collisions among the particles. As an application to the Atlas model for equity markets, we study a special construction of such systems of diffusing particles using Brownian motions with reflection on polyhedral domains.
Cite
@article{arxiv.0810.2149,
title = {On collisions of Brownian particles},
author = {Tomoyuki Ichiba and Ioannis Karatzas},
journal= {arXiv preprint arXiv:0810.2149},
year = {2010}
}
Comments
Published in at http://dx.doi.org/10.1214/09-AAP641 the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org)