The Laguerre process and generalized Hartman-Watson law

DOI10.3150/07-BEJ6048zbMath1139.60037arXiv0708.4186OpenAlexW2039093867MaRDI QIDQ2465278

Nizar Demni

Publication date: 9 January 2008

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.4186

zbMATH Keywords

Laguerre processGross-Richards formulaspecial functions of matrix argument

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65)

Related Items (12)

On a gateway between the Laguerre process and dynamics on partitions ⋮ Universality classes for general random matrix flows ⋮ High-dimensional limits of eigenvalue distributions for general Wishart process ⋮ Strong solutions to a beta-Wishart particle system ⋮ Asymptotics of rectangular spherical integrals ⋮ Exact solution of interacting particle systems related to random matrices ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ Interlacing Diffusions ⋮ Multidimensional Yamada-Watanabe theorem and its applications to particle systems ⋮ Beta Laguerre processes in a high temperature regime ⋮ On the eigenvalue process of a matrix fractional Brownian motion ⋮ Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift

Cites Work

• Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
• Coincidence probabilities
• Wishart processes
• Partial differential equations for hypergeometric functions of complex argument matrices and their applications
• Diffusions of perturbed principal component analysis
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Hypergeometric functions on complex matrix space
• Loi de l'indice du lacet Brownien, et distribution de Hartman-Watson
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• Distributions of Matrix Variates and Latent Roots Derived from Normal Samples
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