Bernoulli

  • Bernoulli
  • Volume 25, Number 2 (2019), 828-847.

On squared Bessel particle systems

Piotr Graczyk and Jacek Małecki

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Abstract

We study the existence and uniqueness of solutions of SDEs describing squared Bessel particle systems in full generality. We define nonnegative and non-colliding squared Bessel particle systems and we study their properties. Particle systems dissatisfying non-colliding and unicity properties are pointed out. The structure of squared Bessel particle systems is described.

Article information

Source
Bernoulli, Volume 25, Number 2 (2019), 828-847.

Dates
Received: July 2017
Revised: September 2017
First available in Project Euclid: 6 March 2019

Permanent link to this document
https://projecteuclid.org/euclid.bj/1551862836

Digital Object Identifier
doi:10.3150/17-BEJ997

Keywords
non-colliding solution particle system squared Bessel process stochastic differential equation Wishart process

Citation

Graczyk, Piotr; Małecki, Jacek. On squared Bessel particle systems. Bernoulli 25 (2019), no. 2, 828--847. doi:10.3150/17-BEJ997. https://projecteuclid.org/euclid.bj/1551862836


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