Recent advances on eigenvalues of matrix-valued stochastic processes
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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.
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Cited in
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- 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
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