Matrix Dufresne Identities

DOI10.1093/imrn/rnv127zbMath1344.60070arXiv1409.1954OpenAlexW2345449503MaRDI QIDQ5744703

Brian Rider, Benedek Valkó

Publication date: 19 February 2016

Published in: International Mathematics Research Notices (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.1954

zbMATH Keywords

Brownian motionstochastic differential equationsmatrix-valued diffusionsmatrix processesDufresne identity

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic analysis (60H99)

Related Items (14)

Universality classes for general random matrix flows ⋮ Exact solution of interacting particle systems related to random matrices ⋮ On two-dimensional extensions of Bougerol's identity in law ⋮ On the singular values of complex matrix Brownian motion with a matrix drift ⋮ A matrix Bougerol identity and the Hua-Pickrell measures ⋮ Spiking the random matrix hard edge ⋮ Matsumoto–Yor Process and Infinite Dimensional Hyperbolic Space ⋮ Interacting diffusions on positive definite matrices ⋮ Hitting times of interacting drifted Brownian motions and the vertex reinforced jump process ⋮ Ergodic decomposition for inverse Wishart measures on infinite positive-definite matrices ⋮ Random entire functions from random polynomials with real zeros ⋮ Laplacian and Brownian motion on positive definite matrices, revisited ⋮ Wigner–Smith matrix, exponential functional of the matrix Brownian motion and matrix Dufresne identity ⋮ Matrix Kesten recursion, inverse-Wishart ensemble and fermions in a Morse potential

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