Recent advances on eigenvalues of matrix-valued stochastic processes (Q2062789)

This paper contains a survey of results of the last three decades dedicated to stochastic processes with values in the space of symmetric matrices. In particular, stochastic processes with values in the space of Hermitian matrices, and their properties, especially the properties of their eigenvalues, such as the limiting behaviours of the eigenvalues when the dimension of the matrix space tends to infinity are dealt with. Some recent variations of these processes, such as matrix-valued processes driven by fractional Brownian motion or Brownian sheet, and their eigenvalues are discussed in this survey as well. Also, some open problems in the area are presented.