Dyson Brownian motion; Eigenvalue distribution; Generalized Wishart process; High-dimensional limit; Squared Bessel particle system; Wishart process; Statistics and Probability; Statistics, Probability and Uncertainty
Abstract :
[en] In this article, we obtain an equation for the high-dimensional limit measure of eigenvalues of generalized Wishart processes, and the results are extended to random particle systems that generalize SDEs of eigenvalues. We also introduce a new set of conditions on the coefficient matrices for the existence and uniqueness of a strong solution for the SDEs of eigenvalues. The equation of the limit measure is further discussed assuming self-similarity on the eigenvalues.
Disciplines :
Mathematics
Author, co-author :
Song, Jian; School of Mathematics, Shandong University, China
Yao, Jianfeng; Department of Statistics and Actuarial Science, University of Hong Kong, Hong Kong
YUAN, Wangjun ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) ; Department of Mathematics, University of Hong Kong, Hong Kong
External co-authors :
yes
Language :
English
Title :
High-dimensional limits of eigenvalue distributions for general wishart process
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