High-dimensional central limit theorems for a class of particle systems

DOI10.1214/21-EJP646MaRDI QIDQ2042816zbMATH OpenFDO

Authors Yanyan Li

Publication date 21 July 2021

Published in Electronic Journal of Probability (Search for Journal in Brave)

zbMATH Keywords

central limit theoremDyson's Brownian motionWishart processparticle systemmatrix-valued Ornstein-Uhlenbeck processsquared Bessel particle system

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1022519 (Why is no real title available?)
• scientific article; zbMATH DE number 1465044 (Why is no real title available?)
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• An introduction to random matrices
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• Diffusing particles with electrostatic repulsion
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• Free Random Variables
• Functional limit theorems for trace processes in a Dyson Brownian motion
• High-dimensional limits of eigenvalue distributions for general Wishart process
• Interacting Brownian particles and the Wigner law
• Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies
• Limit laws for random matrices and free products
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• On squared Bessel particle systems
• On the law of large numbers for the empirical measure process of generalized Dyson Brownian motion
• On the traces of Laguerre processes
• Strong solutions of non-colliding particle systems
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
• Uniqueness for a weak nonlinear evolution equation and large deviations for diffusing particles with electrostatic repulsion
• Wishart processes

Cited in

(7)

• scientific article; zbMATH DE number 7113453 (Why is no real title available?)
• Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
• On the asymptotic aggregation of high dimensional systems
• Recent advances on eigenvalues of matrix-valued stochastic processes
• Gaussian fluctuation for Gaussian Wishart matrices of overall correlation
• Fluctuations of particle systems determined by Schur generating functions
• CENTRAL LIMIT TYPE THEOREM FOR WEIGHTED PARTICLE SYSTEMS

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