On the eigenvalue process of a matrix fractional Brownian motion
From MaRDI portal
(Redirected from Publication:744247)
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.
Recommendations
- On the non-commutative fractional Wishart process
- Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
- Collision of eigenvalues for matrix-valued processes
- A random matrix approximation for the non-commutative fractional Brownian motion
- Recent advances on eigenvalues of matrix-valued stochastic processes
Cites work
- scientific article; zbMATH DE number 2174437 (Why is no real title available?)
- scientific article; zbMATH DE number 6026126 (Why is no real title available?)
- scientific article; zbMATH DE number 3304501 (Why is no real title available?)
- A Brownian-Motion Model for the Eigenvalues of a Random Matrix
- Asymptotic fluctuations of a particle system with singular interaction.
- Brownian motion in a Weyl chamber, non-colliding particles, and random matrices
- Complex Brownian motion representation of the Dyson model
- Differential equations for Dyson processes
- Diffusing particles with electrostatic repulsion
- Diffusions of perturbed principal component analysis
- Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
- Fractional martingales and characterization of the fractional Brownian motion
- Functional limit theorems for trace processes in a Dyson Brownian motion
- Global fluctuations in general \(\beta \) Dyson's Brownian motion
- Integration with respect to fractal functions and stochastic calculus. I
- Interacting Brownian particles and the Wigner law
- Martingale transforms and Girsanov theorem for long-memory Gaussian processes
- On the traces of Laguerre processes
- Some processes associated with fractional Bessel processes
- Stochastic Calculus for Fractional Brownian Motion and Applications
- Stochastic calculus for fractional Brownian motion and related processes.
- Stochastic integral of divergence type with respect to fractional Brownian motion with Hurst parameter \(H \in (0,\frac {1}{2})\)
- Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
- The 1/\(H\)-variation of the divergence integral with respect to the fractional Brownian motion for \(H>1/2\) and fractional Bessel processes
- The Laguerre process and generalized Hartman-Watson law
- The Malliavin Calculus and Related Topics
- The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
- The variation of the spectrum of a normal matrix
- Wishart processes
Cited in
(18)- Recent advances on eigenvalues of matrix-valued stochastic processes
- On collision of multiple eigenvalues for matrix-valued Gaussian processes
- Collision of eigenvalues for matrix-valued processes
- Stochastic differential equations for random matrices processes in the nonlinear framework
- On eigenvalues of the Brownian sheet matrix
- Integration with respect to the Hermitian fractional Brownian motion
- scientific article; zbMATH DE number 1779520 (Why is no real title available?)
- Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
- Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion
- scientific article; zbMATH DE number 17451 (Why is no real title available?)
- On the process of the eigenvalues of a Hermitian Lévy process
- A random matrix approximation for the non-commutative fractional Brownian motion
- On the non-commutative fractional Wishart process
- Hitting probabilities of Gaussian random fields and collision of eigenvalues of random matrices
- Eigenvalue distributions of high-dimensional matrix processes driven by fractional Brownian motion
- On the singular values of complex matrix Brownian motion with a matrix drift
- Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble
- Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
This page was built for publication: On the eigenvalue process of a matrix fractional Brownian motion
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q744247)
