Eigenvalues of the Laguerre process as non-colliding squared Bessel processes

Publication date: 25 February 2003

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/122610

zbMATH Keywords

random matrices Ornstein-Uhlenbeck processes Wishart ensemble Doob $h$-transform Brownian motions Wishart process Laguerre ensemble eigenvalues as diffusions Laguerre process non-colliding squared Bessel processes

Mathematics Subject Classification ID

Brownian motion (60J65) Characterization and structure theory of statistical distributions (62E10) Eigenvalues, singular values, and eigenvectors (15A18) Diffusion processes (60J60) Random matrices (algebraic aspects) (15B52)

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