Stochastic differential equations for random matrices processes in the nonlinear framework
In this paper, we investigate the processes of eigenvalues and eigenvectors of a symmetric matrix valued process \(X_{t}\), where \(X_{t}\) is the solution of a general SDE driven by a \(G\)-Brownian motion matrix. Stochastic differential equations of these processes are given. This extends results...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
AGH Univeristy of Science and Technology Press
2018-01-01
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| Series: | Opuscula Mathematica |
| Subjects: | |
| Online Access: | http://www.opuscula.agh.edu.pl/vol38/2/art/opuscula_math_3812.pdf |
| Summary: | In this paper, we investigate the processes of eigenvalues and eigenvectors of a symmetric matrix valued process \(X_{t}\), where \(X_{t}\) is the solution of a general SDE driven by a \(G\)-Brownian motion matrix. Stochastic differential equations of these processes are given. This extends results obtained by P. Graczyk and J. Malecki in [Multidimensional Yamada-Watanabe theorem and its applications to particle systems, J. Math. Phys. 54 (2013), 021503]. |
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| ISSN: | 1232-9274 |