Random dynamics; random environments; scaling limit; Statistics and Probability
Abstract :
[en] We consider a n x d random matrix Xn,d whoses entries can be expressed as Skorohod integrals. By using the techniques of the Malliavin calculus, we study the fluctuations under the Wasserstein distance, as n; d ! 1, of the renormalized Wishart matrix(formula Presentes)where In is the n In identity matrix.
Disciplines :
Mathematics
Author, co-author :
DIEZ, Charles-Philippe Manuel ; University of Luxembourg > Faculty of Science, Technology and Medicine (FSTM) > Department of Mathematics (DMATH) ; Cnrs, Université De Lille Laboratoire Paul Painlevé, Villeneuve D’Ascq, France
Tudor, Ciprian A.; Cnrs, Université De Lille Laboratoire Paul Painlevé, Villeneuve D’Ascq, France
External co-authors :
yes
Language :
English
Title :
Limit Behavior For Wishart Matrices With Skorohod Integrals
Publication date :
2021
Journal title :
ALEA: Latin American Journal of Probability and Mathematical Statistics
eISSN :
1980-0436
Publisher :
Instituto Nacional de Matematica Pura e Aplicada
Volume :
18
Issue :
1
Pages :
1625 - 1641
Peer reviewed :
Peer Reviewed verified by ORBi
Funding text :
Received by the editors March 12th, 2021; accepted June 23th, 2021. 2010 Mathematics Subject Classification. 82C44, 60K35, 60G70. Key words and phrases. Random dynamics, random environments, scaling limit. C-P. D. acknowledges partial support from the Labex CEMPI (ANR-11-LABX-0007-01) and C. T. acknowledges partial support from the Labex CEMPI (ANR-11-LABX-0007-01) and MATHAMSUD project SARC (19-MATH-06).
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