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

DOI10.1214/18-EJP203MaRDI QIDQ2631835zbMATH OpenFDO

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)

Full work available at URL https://arxiv.org/abs/1801.02111, https://projecteuclid.org/euclid.ejp/1550286034

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)

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.

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Cited in

(10)

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

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