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High-dimensional limits of eigenvalue distributions for general wishart process
Abstract
peer reviewedIn 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- journal article
- http://purl.org/coar/resource_type/c_6501
- info:eu-repo/semantics/article
- peer reviewed
- Dyson Brownian motion
- Eigenvalue distribution
- Generalized Wishart process
- High-dimensional limit
- Squared Bessel particle system
- Wishart process
- Statistics and Probability
- Statistics, Probability and Uncertainty
- Physical, chemical, mathematical & earth Sciences
- Mathematics
- Physique, chimie, mathématiques & sciences de la terre
- Mathématiques