Related papers: Bessel and Dunkl processes with drift
Multivariate Bessel processes, otherwise known as radial Dunkl processes, are stochastic processes defined in a Weyl chamber that are repelled from the latter's boundary by a singular drift with a strength given by the multiplicity function…
Let $Mat_{\mathbb{C}}(K,N)$ be the space of $K\times N$ complex matrices. Let $\mathbf{B}_t$ be Brownian motion on $Mat_{\mathbb{C}}(K,N)$ starting from the zero matrix and $\mathbf{M}\in Mat_{\mathbb{C}}(K,N)$. We prove that, with $K\ge…
Let $n$ particles move in standard Brownian motion in one dimension, with the process terminating if two particles collide. This is a specific case of Brownian motion constrained to stay inside a Weyl chamber; the Weyl group for this…
Noncolliding Brownian motion (Dyson's Brownian motion model with parameter $\beta=2$) and noncolliding Bessel processes are determinantal processes; that is, their space-time correlation functions are represented by determinants. Under a…
We develop a general theory of Bessel-Dunkl type diffusions in Weyl chambers associated with classical root systems. The class considered here allows time-dependent and configuration-dependent diffusion and drift coefficients, as well as…
We write down the generalized Bessel function associated with the root system of type $D$ by means of multivariate hypergeometric series. Our hint comes from the particular case of the Brownian motion in the Weyl chamber of type $D$.
We introduce a fractional Bessel process with constant negative drift, defined as a time-changed Bessel process via the inverse of a stable subordinator, independent of the base process. This construction yields a model capable of capturing…
We stduy radial Dunkl processes associated with dihedral systems: we derive the semi group, the generalized Bessel function, the Dunkl-Hermite polynomials. Then we give a skew product decomposition by means of independent Bessel processes…
Two families of stochastic interacting particle systems, the interacting Brownian motions and Bessel processes, are defined as extensions of Dyson's Brownian motion models and the eigenvalue processes of the Wishart and Laguerre processes…
This paper studies the asymptotic behavior of several central objects in Dunkl theory as the dimension of the underlying space grows large. Our starting point is the observation that a recent result from the random matrix theory literature…
Let $B=\{(B_{t}^{1},..., B_{t}^{d}), t\geq 0\}$ be a $d$-dimensional fractional Brownian motion with Hurst parameter $H$ and let $R_{t}=% \sqrt{(B_{t}^{1})^{2}+... +(B_{t}^{d})^{2}}$ be the fractional Bessel process. It\^{o}'s formula for…
Many properties of Brownian motion on spaces with varying dimension (BMVD in abbreviation) have been explored in [5]. In this paper, we study Brownian motion with drift on spaces with varying dimension (BMVD with drift in abbreviation).…
Bessel process is defined as the radial part of the Brownian motion (BM) in the $D$-dimensional space, and is considered as a one-parameter family of one-dimensional diffusion processes indexed by $D$, BES$^{(D)}$. It is well-known that…
The Bessel process with parameter $D>1$ and the Dyson model of interacting Brownian motions with coupling constant $\beta >0$ are extended to the processes in which the drift term and the interaction terms are given by the logarithmic…
When the number of particles is finite, the noncolliding Brownian motion (the Dyson model) and the noncolliding squared Bessel process are determinantal diffusion processes for any deterministic initial configuration $\xi=\sum_{j \in…
We study Bessel processes on Weyl chambers of types A and B on $\mathbb R^N$. Using elementary symmetric functions, we present several space-time-harmonic functions and thus martingales for these processes $(X_t)_{t\ge0}$ which are…
The aim of this paper is to present the new results concerning some functionals of Brownian motion with drift and present their applications in financial mathematics. We find a probabilistic representation of the Laplace transform of…
Prompted by an example arising in critical percolation, we study some reflected Brownian motions in symmetric planar domains and show that they are intertwined with one-dimensional diffusions. In the case of a wedge, the reflected Brownian…
We study Bessel and Dunkl processes $(X_{t,k})_{t\ge0}$ on $\mathbb R^N$ with possibly multivariate coupling constants $k\ge0$. These processes describe interacting particle systems of Calogero-Moser-Sutherland type with $N$ particles. For…
In this article we study the Dyson Bessel process, which describes the evolution of singular values of rectangular matrix Brownian motions, and prove a large deviation principle for its empirical particle density. We then use it to obtain…