On the non-commutative fractional Wishart process
From MaRDI portal
(Redirected from Publication:333124)
Abstract: We investigate the process of eigenvalues of a fractional Wishart process defined as N=B*B, where B is a matrix fractional Brownian motion recently studied by Nualart and P'erez-Abreu. Using stochastic calculus with respect to the Young integral we show that the eigenvalues do not collide at any time with probability one. When the matrix process B has entries given by independent fractional Brownian motions with Hurst parameter we derive a stochastic differential equation in a Malliavin calculus sense for the eigenvalues of the corresponding fractional Wishart process. Finally a functional limit theorem for the empirical measure-valued process of eigenvalues of a fractional Wishart process is obtained. The limit is characterized and referred to as the free fractional Wishart process which constitutes the family of fractional dilations of the free Poisson distribution.
The authors study the properties of the process of eigenvalues of a fractional Wishart process defined by \(N=B^*B\), where \(B\) is the matrix fractional Brownian motion investigated by \textit{D. Nualart} and the last author [Stochastic Processes Appl. 124, No. 12, 4266--4282 (2014; Zbl 1301.60051)]. If the matrix process \(B\) has entries given by independent fractional Brownian motions with Hurst parameter \(H \in (1/2,1),\) the authors derive a stochastic differential equation for the eigenvalues of the corresponding fractional Wishart process and obtain a functional limit theorem for the empirical measure-valued process of eigenvalues of the fractional Wishart process.
Recommendations
- A random matrix approximation for the non-commutative fractional Brownian motion
- On the eigenvalue process of a matrix fractional Brownian motion
- Free Wishart processes
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- High-dimensional limits of eigenvalue distributions for general Wishart process
Cites work
- Central and non-central limit theorems in a free probability setting
- Complex Brownian motion representation of the Dyson model
- Diffusing particles with electrostatic repulsion
- Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
- Functional limit theorems for trace processes in a Dyson Brownian motion
- scientific article; zbMATH DE number 3951715 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
- scientific article; zbMATH DE number 3244317 (Why is no real title available?)
- Interacting Brownian particles and the Wigner law
- Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies
- On the eigenvalue process of a matrix fractional Brownian motion
- On the traces of Laguerre processes
- Random matrices, random processes and integrable systems
- Selected aspects of fractional Brownian motion.
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic integration with respect to the fractional Brownian motion
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- The Malliavin Calculus and Related Topics
- The variation of the spectrum of a normal matrix
- The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
- Wishart processes
Cited in
(15)- Free Wishart processes
- Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- On collision of multiple eigenvalues for matrix-valued Gaussian processes
- Completely random measures and Lévy bases in free probability
- Recent advances on eigenvalues of matrix-valued stochastic processes
- Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift
- High-dimensional limits of eigenvalue distributions for general Wishart process
- Characterization of non-commutative free Gaussian variables
- A random matrix approximation for the non-commutative fractional Brownian motion
- Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion
- Well-posedness of quantum stochastic differential equations driven by fermion Brownian motion in noncommutative \(L^p\)-space
- Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
- Multiple collisions of eigenvalues and singular values of matrix Gaussian field
- On the eigenvalue process of a matrix fractional Brownian motion
This page was built for publication: On the non-commutative fractional Wishart process
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q333124)
