A NOTE ON THE TWO-DIMENSIONAL OPERATOR WISHART AND LAGUERRE PROCESSES

作者：Perez Abreu V^*; Tudor C

来源：Mathematical Reports, 2012, 14(3): 297-305.

• matrix valued process
• trace process
• Bessel process
• operator process
• eigenvalue process
• Dyson-Brownian motion

We consider the stochastic differential equations satisfied by the engenvalues of the operator Wishart and Laguerre processes. They are governed by a system of diffusions governed by Brownian motions that are not independent. It is shown that their traces are Bessel processes if and only if the corresponding operator processes are standard.

• 出版日期2012