Convergence of the empirical spectral distribution of Gaussian matrix-valued processes

DOI10.1214/18-EJP203zbMATH Open1427.15037arXiv1801.02111MaRDI QIDQ2631835FDOQ2631835

Authors: Arturo Jaramillo, J. C. Pardo, José Luis Pérez Garmendia 

Publication date: 16 May 2019

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

Abstract: For a given normalized Gaussian symmetric matrix-valued process $Y^{(n)}$, we consider the process of its eigenvalues $(lambd{a}_1^{(n)}(t),dots,lambd{a}_n^{(n)}(t));tge0$ as well as its corresponding process of empirical spectral measures $m{u}^{(n)}=(m{u}_t^{(n)};tgeq0)$. Under some mild conditions on the covariance function associated to $Y^{(n)}$, we prove that the process $m{u}^{(n)}$ converges in probability to a deterministic limit $mu$, in the topology of uniform convergence over compact sets. We show that the process $mu$ is characterized by its Cauchy transform, which is a rescaling of the solution of a Burgers' equation. Our results extend those of Rogers and Shi for the free Brownian motion and Pardo et al. for the non-commutative fractional Brownian motion when $H>1/2$ whose arguments use strongly the non-collision of the eigenvalues. Our methodology does not require the latter property and in particular explains the remaining case of the non-commutative fractional Brownian motion for $H<1/2$ which, up to our knowledge, was unknown.

Full work available at URL: https://arxiv.org/abs/1801.02111

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zbMATH Keywords

free probabilitySkorokhod integralmeasure valued processGaussian matrix-valued processes

Mathematics Subject Classification ID

Convergence of probability measures (60B10) Stochastic calculus of variations and the Malliavin calculus (60H07) Random matrices (algebraic aspects) (15B52) Numerical solutions to stochastic differential and integral equations (65C30)

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Cited In (10)

• Singular-values of matrix-valued Ornstein-Uhlenbeck processes
• Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
• Time-convergent random matrices from mean-field pinned interacting eigenvalues
• On collision of multiple eigenvalues for matrix-valued Gaussian processes
• Fluctuations for matrix-valued Gaussian processes
• On the eigenvalue process of a matrix fractional Brownian motion
• Recent advances on eigenvalues of matrix-valued stochastic processes
• Convergence of the empirical spectral measure of unitary Brownian motion
• Process convergence of fluctuations of linear eigenvalue statistics of band Toeplitz matrices
• Functional limit theorems for trace processes in a Dyson Brownian motion

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