Laplacian and Brownian motion on positive definite matrices, revisited (Q2105362)
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scientific article; zbMATH DE number 7629078
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Laplacian and Brownian motion on positive definite matrices, revisited |
scientific article; zbMATH DE number 7629078 |
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Laplacian and Brownian motion on positive definite matrices, revisited (English)
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8 December 2022
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Brownian motion on the symmetric space of positive definite matrices is considered and the corresponding Laplace-Beltrami operator is explicitly computed using Iwasawa coordinates. Its determinant is shown to follow a geometric Brownian motion. Limit laws for the largest and smallest eigenvalues of the positive definite matrix valued Brownian motion are established after suitable scaling.
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Brownian motion
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positivedefinite matrices
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Laplace-Beltrami operator
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eigenvalue asymptotics
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