On the non-commutative fractional Wishart process

DOI10.1016/J.JFA.2016.10.008zbMATH Open1362.60040arXiv1504.05079OpenAlexW2530879939MaRDI QIDQ333124FDOQ333124

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

Publication date: 9 November 2016

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

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.

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

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zbMATH Keywords

eigenvaluesstochastic differential equationfractional calculusfunctional limit theoremYoung integralfractional Wishart matrix processmeasure-valued process

Mathematics Subject Classification ID

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

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Cited In (9)

• Title not available (Why is that?)
• 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
• Completely random measures and Lévy bases in free probability
• On collision of multiple eigenvalues for matrix-valued Gaussian processes
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Free Wishart processes
• Recent advances on eigenvalues of matrix-valued stochastic processes
• A random matrix approximation for the non-commutative fractional Brownian motion

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