A random matrix approximation for the non-commutative fractional Brownian motion
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Abstract: A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion recently introduced by Nourdin and Taqqu. Young and Skorohod stochastic integral techniques and fractional calculus are the main tools used.
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Cited in
(14)- On collision of multiple eigenvalues for matrix-valued Gaussian processes
- Recent advances on eigenvalues of matrix-valued stochastic processes
- Asymptotic behavior of large Gaussian correlated Wishart matrices
- Integration with respect to the Hermitian fractional Brownian motion
- Integration with respect to the non-commutative fractional Brownian motion
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- On the non-commutative multifractional Brownian motion
- On eigenvalues of the Brownian sheet matrix
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