Stochastic integral and covariation representations for rectangular Lévy process ensembles

DOI10.1007/978-3-319-13984-5_6MaRDI QIDQ5038264zbMATH OpenOpenAlexFDO

Authors J. Armando Domínguez-Molina, Alfonso Rocha-Arteaga

Publication date 30 September 2022

Published in XI Symposium on Probability and Stochastic Processes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-13984-5_6

zbMATH Keywords

Bercovici-Pata bijectioncomplex matrix Lévy processescomplex matrix semimartingalesfree infinitely divisible distributioninfinitely divisible distributionLévy measuresOrnstein-Uhlenbeck rectangular type processesrandom matricesrectangular random matrix model

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

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Cited in

(2)

• Random matrix models of stochastic integral type for free infinitely divisible distributions
• Covariation representations for Hermitian Lévy process ensembles of free infinitely divisible distributions

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