On the Process of the Eigenvalues of a Hermitian Lévy process

DOI10.1007/978-3-319-25826-3_11zbMath1354.60050arXiv1505.05125MaRDI QIDQ2956054

Alfonso Rocha-Arteaga, Victor Perez-Abreu

Publication date: 16 January 2017

Published in: The Fascination of Probability, Statistics and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1505.05125

zbMATH Keywords

rank-one perturbation; Bercovici-Pata bijection; infinitely divisible random matrix; matrix semimartingale; stochastic differential equation with jumps; simultaneous jumps; Dyson-Brownian motion; non-colliding process

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60J65: Brownian motion

Related Items

Completely random measures and Lévy bases in free probability

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