Recent advances on eigenvalues of matrix-valued stochastic processes

DOI10.1016/J.JMVA.2021.104847MaRDI QIDQ2062789zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 3 January 2022

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2109.12262

zbMATH Keywords

Brownian sheetsDyson Brownian motioneigenvalue distributionfractional Brownian motionmatrix-valued processsquared Bessel particle systemWishart process

Mathematics Subject Classification ID

Eigenvalues, singular values, and eigenvectors (15A18) Central limit and other weak theorems (60F05) Fractional processes, including fractional Brownian motion (60G22) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Multivariate distribution of statistics (62H10)

Abstract: Since the introduction of Dyson's Brownian motion in early 1960's, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their eigenvalues have been studied in great details. In particular, the limiting behaviors of the eigenvalues are found when the dimension of the matrix space tends to infinity, which connects with random matrix theory. This survey reviews a selection of results on the eigenvalues of stochastic processes from the literature of the past three decades. For most recent variations of such processes, such as matrix-valued processes driven by fractional Brownian motion or Brownian sheet, the eigenvalues of them are also discussed in this survey. In the end, some open problems in the area are also proposed.

Review text

This paper contains a survey of results of the last three decades dedicated to stochastic processes with values in the space of symmetric matrices. In particular, stochastic processes with values in the space of Hermitian matrices, and their properties, especially the properties of their eigenvalues, such as the limiting behaviours of the eigenvalues when the dimension of the matrix space tends to infinity are dealt with. Some recent variations of these processes, such as matrix-valued processes driven by fractional Brownian motion or Brownian sheet, and their eigenvalues are discussed in this survey as well. Also, some open problems in the area are presented.

Recommendations

• On the eigenvalue process of a matrix fractional Brownian motion
• Stochastic differential equations for random matrices processes in the nonlinear framework
• On the non-commutative fractional Wishart process
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
• Asymptotics of random matrices and matrix valued processes

Cites work

• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• A random matrix approximation for the non-commutative fractional Brownian motion
• A survey and some generalizations of Bessel processes
• An affine multicurrency model with stochastic volatility and stochastic interest rates
• An introduction to random matrices
• Bessel process, Schramm-Loewner evolution, and the Dyson model
• Brownian Motions of Ellipsoids
• Central and non-central limit theorems in a free probability setting
• Collision of eigenvalues for matrix-valued processes
• Continuous Time Wishart Process for Stochastic Risk
• Convergence of the empirical spectral distribution of Gaussian matrix-valued processes
• Derivative pricing with Wishart multivariate stochastic volatility
• Diffusing particles with electrostatic repulsion
• Diffusions of perturbed principal component analysis
• Eigenvalues of the Laguerre process as non-colliding squared Bessel processes
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Fluctations of the empirical law of large random matrices
• Fractional martingales and characterization of the fractional Brownian motion
• Free Random Variables
• Functional limit theorems for trace processes in a Dyson Brownian motion
• High-dimensional central limit theorems for a class of particle systems
• High-dimensional limits of eigenvalue distributions for general Wishart process
• scientific article; zbMATH DE number 438987 (Why is no real title available?)
• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1003147 (Why is no real title available?)
• scientific article; zbMATH DE number 1465044 (Why is no real title available?)
• 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 3327878 (Why is no real title available?)
• scientific article; zbMATH DE number 3366270 (Why is no real title available?)
• scientific article; zbMATH DE number 2234993 (Why is no real title available?)
• scientific article; zbMATH DE number 3189804 (Why is no real title available?)
• scientific article; zbMATH DE number 4182527 (Why is no real title available?)
• Interacting Brownian particles and the Wigner law
• Large deviations upper bounds for the laws of matrix-valued processes and non-commutative entropies
• Limit laws for random matrices and free products
• Mean field limit for Coulomb-type flows
• Model-based transductive learning of the kernel matrix
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• Multiparameter Processes
• Noncolliding Brownian motion and determinantal processes
• Noncolliding squared Bessel processes
• On collision of multiple eigenvalues for matrix-valued Gaussian processes
• On squared Bessel particle systems
• On strong solutions for positive definite jump diffusions
• On the eigenvalue process of a matrix fractional Brownian motion
• On the law of large numbers for the empirical measure process of generalized Dyson Brownian motion
• On the non-commutative fractional Wishart process
• On the traces of Laguerre processes
• Option pricing when correlations are stochastic: an analytical framework
• Propagation of chaos for a class of first order models with singular mean field interactions
• Quantitative estimates of propagation of chaos for stochastic systems with \(W^{-1,\infty}\) kernels
• Spectral analysis of large dimensional random matrices
• Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
• Stochastic integrals in the plane
• Strong solutions of non-colliding particle systems
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems
• The Malliavin Calculus and Related Topics
• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
• The Wishart short rate model
• Wishart processes

Cited in

(11)

• On collision of multiple eigenvalues for matrix-valued Gaussian processes
• On the process of the eigenvalues of a Hermitian Lévy process
• Eigenvalues and Eigenfunctions for Stable Processes
• Collision of eigenvalues for matrix-valued processes
• scientific article; zbMATH DE number 17451 (Why is no real title available?)
• Stochastic differential equations for random matrices processes in the nonlinear framework
• Eigenvalue processes of symmetric tridiagonal matrix-valued processes associated with Gaussian beta ensemble
• On eigenvalues of the Brownian sheet matrix
• Quasi-stationarity of the Dyson Brownian motion with collisions
• Spectral analysis of high-dimensional spot volatility matrix with applications
• On the eigenvalue process of a matrix fractional Brownian motion

This page was built for publication: Recent advances on eigenvalues of matrix-valued stochastic processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2062789)