Stochastic dynamics of determinantal processes by integration by parts
Probability
2015-09-30 v4
Abstract
We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and admits the distribution of the determinantal process as reversible law. In particular, this approach allows us to build a concrete example of the associated diffusion process, providing an illustration of the results of [4] and [30].
Keywords
Cite
@article{arxiv.1210.6109,
title = {Stochastic dynamics of determinantal processes by integration by parts},
author = {Laurent Decreusefond and Ian Flint and Nicolas Privault and Giovanni Luca Torrisi},
journal= {arXiv preprint arXiv:1210.6109},
year = {2015}
}