Strong solutions to a beta-Wishart particle system

DOI10.1007/s10959-021-01109-1MaRDI QIDQ2677000

Benjamin Jourdain, Ezéchiel Kahn

Publication date: 29 September 2022

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2003.08699

zbMATH Keywords

interacting particle systems; Ornstein-Uhlenbeck processes; singular stochastic differential equations; Laguerre ensembles; multivariate Bessel processes

Mathematics Subject Classification ID

60B20: Random matrices (probabilistic aspects)

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

60G17: Sample path properties

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)