Stochastic differential equations for eigenvalues and eigenvectors of a G-Wishart process with drift

DOI10.1007/S11253-019-01664-1MaRDI QIDQ2307640zbMATH OpenOpenAlexWikidataFDO

Authors Selma Meradji, Hacène Boutabia, S. Stihi

Publication date 25 March 2020

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11253-019-01664-1

zbMATH Keywords

Brownian motionWishart process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Diffusion processes (60J60) Brownian motion (60J65) Factor analysis and principal components; correspondence analysis (62H25)

Recommendations

• Stochastic differential equations for random matrices processes in the nonlinear framework
• High-dimensional limits of eigenvalue distributions for general Wishart process
• On the non-commutative fractional Wishart process
• Strong solutions to a beta-Wishart particle system
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions

Cites work

• A stochastic maximum principle for processes driven by G-Brownian motion and applications to finance
• Complex Brownian motion representation of the Dyson model
• Diffusions of perturbed principal component analysis
• Eigenvalue distribution of large random matrices
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 3304501 (Why is no real title available?)
• Martingale representation theorem for the \(G\)-expectation
• On strong solutions for positive definite jump diffusions
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• The Laguerre process and generalized Hartman-Watson law

Cited in

(4)

• High-dimensional limits of eigenvalue distributions for general Wishart process
• Stochastic differential equations for random matrices processes in the nonlinear framework
• A note on the two-dimensional operator Wishart and Laguerre processes
• Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

This page was built for publication: Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2307640)