On collisions of Brownian particles (Q988761): Difference between revisions
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English | On collisions of Brownian particles |
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On collisions of Brownian particles (English)
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18 August 2010
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The authors examine whether under a partition of a Euclidean space of dimension \(n\) into a finite number of \(n\)-dimensional polyhedral domains the triple collision of Brownian particles can be achieved or not. Specifically, a stochastic integral equation which involves an \(n\)-dimensional Brownian motion is considered and the weak solution of this equation is taken with respect to an initial condition in any of this polyhedra. The question is whether these solutions coincide mainly in a triplet of polyhedra. Conditions under which triple collisions never occur and conditions under which triple collisions may occur are provided, while a growth condition is also given under which no triple collisions exist. As an application of these results, the Atlas model of equity markets is considered which was studied by the authors in previous works. In this model, the triple collisions' non-existence is related to the construction of the weak solution of the Atlas model.
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triple collisions
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effective dimension
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reflected Brownian motion
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Atlas model
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