Strong solutions to a beta-Wishart particle system (Q2677000): Difference between revisions

The authors study the \(n\)-dimensional SDE \[ d\lambda_t^i= 2\sqrt{\lambda_t^i}dB_t^i + \Bigl( \alpha-(n-1)\beta -2\gamma\lambda_t^i+2\beta\lambda_t^i\sum_{j:\> j\ne i}\frac{1}{\lambda_t^i-\lambda_t^j}\Bigr) dt \] for \(i=1,\ldots, n\) on the Weyl chamber \(\{z\in \mathbb R^n: \> 0\le z_1\le \ldots\le z_N\}\). The authors present conditions on the parameters \(\alpha,\beta,\gamma\) when the SDE has a unique strong solution (possibly even for a start on the singular boundary), and when the paths do not meet the boundary a.s. For some parameters \(\beta\), the system describes the eigenvalue-process of Ornstein-Uhlenbeck-type Wishart processes on the positive semidefinite matrices over \(\mathbb R, \mathbb C\) and the quaternions. Moreover, up taking squares in all coordinates, the processes may be regarded as Ornstein-Uhlenbeck-type Bessel processes associated with the root system \(B_N\). Like for classical O-U-processes and Brownian motions, there is a close connection between the O-U-type processes of the authors and Bessel processes by \textit{M. Rösler} and \textit{M. Voit} [Adv. Appl. Math. 21, No. 4, 575--643 (1998; Zbl 0919.60072)]. In this way the transition probabilities of the processes under consideration can be given explicitly in terms of multivariate Bessel functions, and the stationary distribution is that of some Laguerre ensemble up to some transformation. In this way, the results and their proofs on the basis of results of \textit{E. Cépa} and \textit{D. Lépingle} [ESAIM, Probab. Stat. 5, 203--224 (2001; Zbl 1002.60093)] in this paper are related to known corresponding results for Bessel processes by Demni as well as by Graczyk and Malecki.