On the eigenvalue process of a matrix fractional Brownian motion

DOI10.1016/J.SPA.2014.07.017zbMATH Open1301.60051arXiv1401.6584OpenAlexW2073496769MaRDI QIDQ744247FDOQ744247

Authors: David Nualart, Víctor Pérez-Abreu 

Publication date: 6 October 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Abstract: We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional H"older continuous Gaussian processes of order gamma in (1/2,1). Using the stochastic calculus with respect to the Young's integral we show that these eigenvalues do not collide at any time with probability one. When the matrix process has entries that are fractional Brownian motions with Hurst parameter H in (1/2,1), we find a stochastic differential equation in a Malliavin calculus sense for the eigenvalues of the corresponding matrix fractional Brownian motion. A new generalized version of the It^o formula for the multidimensional fractional Brownian motion is first established.

Full work available at URL: https://arxiv.org/abs/1401.6584

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zbMATH Keywords

Young integralDyson process[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=H%EF%BF%BD%EF%BF%BDlder+continuous+Gaussian+process&go=Go H��lder continuous Gaussian process]noncolliding process

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Stochastic integrals (60H05) Canonical models for contractions and nonselfadjoint linear operators (47A45)

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Cited In (15)

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• Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
• Hitting probabilities of Gaussian random fields and collision of eigenvalues of random matrices
• On the Process of the Eigenvalues of a Hermitian Lévy process
• On collision of multiple eigenvalues for matrix-valued Gaussian processes
• Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble
• On the non-commutative fractional Wishart process
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
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• Recent advances on eigenvalues of matrix-valued stochastic processes
• Title not available (Why is that?)
• Collision of eigenvalues for matrix-valued processes
• Integration with respect to the Hermitian fractional Brownian motion
• A random matrix approximation for the non-commutative fractional Brownian motion
• On the singular values of complex matrix Brownian motion with a matrix drift

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