Stochastic dynamics of determinantal processes by integration by parts
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Publication:6236575
arXiv1210.6109MaRDI QIDQ6236575FDOQ6236575
Authors: Laurent Decreusefond, Ian Flint, Nicolas Privault, Giovanni Luca Torrisi 
Publication date: 22 October 2012
Abstract: We derive an integration by parts formula for functionals of determinantal processes on compact sets, completing the arguments of [4]. This is used to show the existence of a configuration-valued diffusion process which is non-colliding and admits the distribution of the determinantal process as reversible law. In particular, this approach allows us to build a concrete example of the associated diffusion process, providing an illustration of the results of [4] and [30].
Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Random fields (60G60) Stochastic calculus of variations and the Malliavin calculus (60H07) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35)
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