On the non-commutative fractional Wishart process (Q333124): Difference between revisions

The authors study the properties of the process of eigenvalues of a fractional Wishart process defined by \(N=B^*B\), where \(B\) is the matrix fractional Brownian motion investigated by \textit{D. Nualart} and the last author [Stochastic Processes Appl. 124, No. 12, 4266--4282 (2014; Zbl 1301.60051)]. If the matrix process \(B\) has entries given by independent fractional Brownian motions with Hurst parameter \(H \in (1/2,1),\) the authors derive a stochastic differential equation for the eigenvalues of the corresponding fractional Wishart process and obtain a functional limit theorem for the empirical measure-valued process of eigenvalues of the fractional Wishart process.