A note on the two-dimensional operator Wishart and Laguerre processes

zbMATH Open1289.60152MaRDI QIDQ5396148FDOQ5396148

Authors: Víctor Pérez-Abreu, Constantin Tudor 

Publication date: 5 February 2014

Recommendations

• The Laguerre process and generalized Hartman-Watson law
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• Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift

zbMATH Keywords

Bessel processDyson-Brownian motiontrace processmatrix-valued processeigenvalue processoperator process

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Central limit and other weak theorems (60F05) Diffusion processes (60J60) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Cited In (4)

• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Strong solutions to a beta-Wishart particle system
• On the traces of Laguerre processes
• The Laguerre process and generalized Hartman-Watson law

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