On the non-commutative fractional Wishart process

DOI10.1016/J.JFA.2016.10.008MaRDI QIDQ333124zbMATH OpenOpenAlexFDO

Authors J. C. Pardo, José Luis Pérez Garmendia, Víctor Pérez-Abreu

Publication date 9 November 2016

Published in Journal of Functional Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.05079

zbMATH Keywords

eigenvaluesfractional calculusfractional Wishart matrix processfunctional limit theoremmeasure-valued processstochastic differential equationYoung integral

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Functional limit theorems; invariance principles (60F17) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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 $Hin(1/2,1)$ 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.

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Cited in

(14)

• 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
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