Brownian motion in a truncated Weyl chamber
dc.bibliographicCitation.seriesTitle | WIAS Preprints | eng |
dc.bibliographicCitation.volume | 1533 | |
dc.contributor.author | König, Wolfgang | |
dc.contributor.author | Schmid, Patrick | |
dc.date.accessioned | 2016-03-24T17:38:39Z | |
dc.date.available | 2019-06-28T08:05:46Z | |
dc.date.issued | 2010 | |
dc.description.abstract | We examine the non-exit probability of a multidimensional Brownian motion from a growing truncated Weyl chamber. Different regimes are identified according to the growth speed, ranging from polynomial decay over stretched-exponential to exponential decay. Furthermore we derive associated large deviation principles for the empirical measure of the properly rescaled and transformed Brownian motion as the dimension grows to infinity. Our main tool is an explicit eigenvalue expansion for the transition probabilities before exiting the truncated Weyl chamber. | eng |
dc.description.version | publishedVersion | eng |
dc.format | application/pdf | |
dc.identifier.issn | 0946-8633 | |
dc.identifier.uri | https://doi.org/10.34657/2096 | |
dc.identifier.uri | https://oa.tib.eu/renate/handle/123456789/2341 | |
dc.language.iso | eng | eng |
dc.publisher | Berlin : Weierstraß-Institut für Angewandte Analysis und Stochastik | eng |
dc.relation.issn | 0946-8633 | eng |
dc.rights.license | This document may be downloaded, read, stored and printed for your own use within the limits of § 53 UrhG but it may not be distributed via the internet or passed on to external parties. | eng |
dc.rights.license | Dieses Dokument darf im Rahmen von § 53 UrhG zum eigenen Gebrauch kostenfrei heruntergeladen, gelesen, gespeichert und ausgedruckt, aber nicht im Internet bereitgestellt oder an Außenstehende weitergegeben werden. | ger |
dc.subject.ddc | 510 | eng |
dc.subject.other | Weyl chamber | eng |
dc.subject.other | non-colliding Brownian motions | eng |
dc.subject.other | Karlin-McGregor formula | eng |
dc.subject.other | non-colliding probability | eng |
dc.subject.other | non-exit probability | eng |
dc.subject.other | eigenvalue expansion | eng |
dc.subject.other | réduite | eng |
dc.title | Brownian motion in a truncated Weyl chamber | eng |
dc.type | Report | eng |
dc.type | Text | eng |
tib.accessRights | openAccess | eng |
wgl.contributor | WIAS | eng |
wgl.subject | Mathematik | eng |
wgl.type | Report / Forschungsbericht / Arbeitspapier | eng |
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