Strong solutions to a beta-Wishart particle system
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Publication:6337028
DOI10.1007/S10959-021-01109-1arXiv2003.08699MaRDI QIDQ6337028FDOQ6337028
Authors: Benjamin Jourdain, Ezéchiel Kahn 
Publication date: 19 March 2020
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.
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)
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