Malliavin Calculus for Non-colliding Particle Systems
Probability
2019-01-29 v2
Abstract
In this paper, we use Malliavin calculus to show the existence and continuity of density functions of -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.
Keywords
Cite
@article{arxiv.1803.04136,
title = {Malliavin Calculus for Non-colliding Particle Systems},
author = {Nobuaki Naganuma and Dai Taguchi},
journal= {arXiv preprint arXiv:1803.04136},
year = {2019}
}
Comments
Section 1, Lemma 3.7 and Section 4 are corrected mainly