Large deviations for Wishart processes

MaRDI QIDQ3615208zbMATH OpenFDO

Authors Catherine Donati-Martin

Publication date 17 March 2009

Full work available at URL https://arxiv.org/abs/math/0410457, http://www.math.uni.wroc.pl/~pms/files/28.2/Abstract/28.2.9.abs.pdf

zbMATH Keywords

large deviation principleWishart processes

Mathematics Subject Classification ID

Random matrices (algebraic aspects) (15B52) Large deviations (60F10) Diffusion processes (60J60)

Recommendations

• Moderate deviations and central limit theorem for small perturbation Wishart processes
• Eigenvalue Density of the Wishart Matrix and Large Deviations
• Large deviations of the maximum eigenvalue in Wishart random matrices
• Large deviations for a non-centered Wishart matrix
• High-dimensional limits of eigenvalue distributions for general Wishart process

Cited in

(8)

• Geometric ergodicity of affine processes on cones
• Moderate deviations and central limit theorem for small perturbation Wishart processes
• High-dimensional limits of eigenvalue distributions for general Wishart process
• Large deviations for affine diffusion processes on R_+^m R^n
• Eigenvalue Density of the Wishart Matrix and Large Deviations
• General Freidlin-Wentzell large deviations and positive diffusions
• On strong solutions for positive definite jump diffusions
• Infinite-dimensional Wishart processes

This page was built for publication: Large deviations for Wishart processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3615208)