Strong solutions to a beta-Wishart particle system
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Publication:6337028
Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Sample path properties (60G17)
Abstract: The purpose of this paper is to study the existence and uniqueness of solutions to a Stochastic Differential Equation (SDE) coming from the eigenvalues of Wishart processes. The coordinates are non-negative, evolve as Cox-Ingersoll-Ross (CIR) processes and repulse each other according to a Coulombian like interaction force. We show the existence of strong and pathwise unique solutions to the system until the first multiple collision, and give a necessary and sufficient condition on the parameters of the SDE for this multiple collision not to occur in finite time.
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