On free stochastic differential equations

DOI10.1007/S10959-011-0341-ZzbMath1237.46047arXiv1101.2697OpenAlexW2033632591MaRDI QIDQ639339

Vladislav Kargin

Publication date: 20 September 2011

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.2697

zbMATH Keywords

free Brownian motiongeometric Brownian motionexplosionfree stochastic differential equationsemicircle spectral distribution

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free probability and free operator algebras (46L54)

Related Items (7)

Universality classes for general random matrix flows ⋮ Itô's formula for noncommutative \(C^2\) functions of free Itô processes ⋮ Numerical Solution of Free Stochastic Differential Equations ⋮ On the rough-paths approach to non-commutative stochastic calculus ⋮ Free convolution operators and free Hall transform ⋮ Remarks on free mutual information and orbital free entropy ⋮ Fluctuations of Brownian motions on \(\mathbb{GL}_N\)

Cites Work

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• A new example of `independence' and `white noise'
• Stochastic integration on the Cuntz algebra \({\mathcal O}_ \infty\)
• Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
• Itô formula for free stochastic integrals
• Free Wishart processes
• Free Jacobi process
• Free Ornstein--Uhlenbeck processes
• Free Random Variables
• Lectures on the Combinatorics of Free Probability
• Free diffusions, free entropy and free Fisher information

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