Strong solutions to beta-Jacobi processes
Probability
2021-04-21 v1
Abstract
The purpose of this paper is to study the existence and uniqueness of solutions to a system of Stochastic Differential Equations (SDEs). The coordinates are bounded by zero and one, and repulse each other according to a Coulombian like interaction force. We show the existence of strong and pathwise unique solutions to the system until the first multiple collision at zero or one, and give a sufficient condition on the parameters of the SDEs for this multiple collision not to occur in finite time.
Keywords
Cite
@article{arxiv.2104.10142,
title = {Strong solutions to beta-Jacobi processes},
author = {Ezechiel Kahn},
journal= {arXiv preprint arXiv:2104.10142},
year = {2021}
}
Comments
arXiv admin note: text overlap with arXiv:2003.08699