Singular-values of matrix-valued Ornstein-Uhlenbeck processes

DOI10.1016/S0304-4149(99)00007-1zbMath0997.60120OpenAlexW2015987201MaRDI QIDQ1613604

Huiling Le

Publication date: 29 August 2002

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4149(99)00007-1

zbMATH Keywords

Wigner lawmeasure-valued diffusionssingular-values

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Interacting random processes; statistical mechanics type models; percolation theory (60K35)

Cites Work

• The Wigner semi-circle law and eigenvalues of matrix-valued diffusions
• Interacting Brownian particles and the Wigner law
• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
• Brownian motions on shape and size-and-shape spaces
• Large deviations from the mckean-vlasov limit for weakly interacting diffusions

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