Stochastic differential equations for random matrices processes in the nonlinear framework

DOI10.7494/OPMATH.2018.38.2.261MaRDI QIDQ4554814zbMATH OpenFDO

Authors S. Stihi, Hacène Boutabia, Selma Meradji

Publication date 9 November 2018

Published in Opuscula Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.7494/OPMATH.2018.38.2.261

zbMATH Keywords

\(G\)-Brownian motion matrix\(G\)-stochastic differential equationseigenvalueseigenvectorsrandom matrices

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Stochastic integrals (60H05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cites work

• G-expectation, G-Brownian motion and related stochastic calculus of Itô type
• An introduction to random matrices
• Invariance principles for the law of the iterated logarithm under \(G\)-framework
• Local time and Tanaka formula for the G-Brownian motion
• Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• On the existence and uniqueness of solutions to stochastic differential equations driven by \(G\)-Brownian motion with integral-Lipschitz coefficients
• Pathwise properties and homeomorphic flows for stochastic differential equations driven by G-Brownian motion
• Real options, ambiguity, risk and insurance
• Stopping times and related Itô's calculus with \(G\)-Brownian motion
• Symmetry of matrix-valued stochastic processes and noncolliding diffusion particle systems

Cited in

(7)

• Recent advances on eigenvalues of matrix-valued stochastic processes
• Universality classes for general random matrix flows
• Stochastic processes on the group of orthogonal matrices and evolution equations describing them
• Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift
• High-dimensional limits of eigenvalue distributions for general Wishart process
• Picard iterations for diffusions on symmetric matrices
• Stochastic differential equations for orthogonal eigenvectors of (G,ε)-Wishart process related to multivariate G-fractional Brownian motion

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