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

DOI10.1007/s11253-019-01664-1zbMath1435.62219OpenAlexW2980732168WikidataQ126996811 ScholiaQ126996811MaRDI QIDQ2307640

S. Stihi, Hacène Boutabia, Selma Meradji

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

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

Related Items (1)

Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

Cites Work

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• Martingale representation theorem for the \(G\)-expectation
• On strong solutions for positive definite jump diffusions
• Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
• Complex Brownian motion representation of the Dyson model
• Diffusions of perturbed principal component analysis
• On the comparison theorem for multi-dimensional \(G\)-SDEs
• The Laguerre process and generalized Hartman-Watson law
• A stochastic maximum principle for processes driven by G‐Brownian motion and applications to finance

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