Open Access
June 2010 On collisions of Brownian particles
Tomoyuki Ichiba, Ioannis Karatzas
Ann. Appl. Probab. 20(3): 951-977 (June 2010). DOI: 10.1214/09-AAP641

Abstract

We examine the behavior of n Brownian particles diffusing on the real line with bounded, measurable drift and bounded, piecewise continuous diffusion coefficients that depend on the current configuration of particles. Sufficient conditions are established for the absence and for the presence of triple collisions among the particles. As an application to the Atlas model for equity markets, we study a special construction of such systems of diffusing particles using Brownian motions with reflection on polyhedral domains.

Citation

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Tomoyuki Ichiba. Ioannis Karatzas. "On collisions of Brownian particles." Ann. Appl. Probab. 20 (3) 951 - 977, June 2010. https://doi.org/10.1214/09-AAP641

Information

Published: June 2010
First available in Project Euclid: 18 June 2010

zbMATH: 1235.60111
MathSciNet: MR2680554
Digital Object Identifier: 10.1214/09-AAP641

Subjects:
Primary: 60G17 , 60G44
Secondary: 60G85

Keywords: atlas model , Bessel process , Comparison theorem , effective dimension , Martingale problem , reflected Brownian motion , triple collision

Rights: Copyright © 2010 Institute of Mathematical Statistics

Vol.20 • No. 3 • June 2010
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