Multidimensional Yamada-Watanabe theorem and its applications

Piotr Graczyk (1) , Jacek Malecki (1, 2)

1 LAREMA - Laboratoire Angevin de Recherche en Mathématiques
2 IMCS - Institute of Mathematics and Computer Science [Wroclaw]

Multidimensional and matrix versions of the Yamada-Watanabe theorem are proved. They are applied to particle systems of squared Bessel processes and to matrix analogues of squared Bessel processes: Wishart and Jacobi matrix processes.

Domaines: Probabilités [math.PR]

Piotr Graczyk, Jacek Malecki. Multidimensional Yamada-Watanabe theorem and its applications. 2011. ⟨hal-00618021⟩