Stochastic dynamics of determinantal processes by integration by parts

Authors Laurent Decreusefond, Ian Flint, Nicolas Privault, Giovanni Luca Torrisi

Publication date 22 October 2012

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)

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].

This page was built for publication: Stochastic dynamics of determinantal processes by integration by parts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6236575)