Stochastic dynamics of determinantal processes by integration by parts | Zendy

Laurent Decreusefond | Zendy; Ian Flint | Zendy; Nicolas Privault | Zendy; Giovanni Luca Torrisi | Zendy

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Stochastic dynamics of determinantal processes by integration by parts

Author(s) -

Laurent Decreusefond,

Ian Flint,

Nicolas Privault,

Giovanni Luca Torrisi

Publication year - 2015

Publication title -

communications on stochastic analysis

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 0.224

H-Index - 10

eISSN - 2688-6669

pISSN - 0973-9599

DOI - 10.31390/cosa.9.3.05

Subject(s) - stochastic dynamics , dynamics (music) , statistical physics , computer science , mathematical economics , mathematics , physics , acoustics

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].

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