Free Wishart processes
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Publication:1780932
DOI10.1007/s10959-005-3511-zzbMath1084.46051OpenAlexW2028247827MaRDI QIDQ1780932
Mireille Capitaine, Catherine Donati-Martin
Publication date: 14 June 2005
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-005-3511-z
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Free probability and free operator algebras (46L54) Quantum stochastic calculus (81S25) Random matrices (algebraic aspects) (15B52)
Related Items (8)
Universality classes for general random matrix flows ⋮ Functional equations solving initial-value problems of complex Burgers-type equations for one-dimensional log-gases ⋮ Itô's formula for noncommutative \(C^2\) functions of free Itô processes ⋮ The Brown measure of a family of free multiplicative Brownian motions ⋮ On free stochastic differential equations ⋮ Wigner chaos and the fourth moment ⋮ On the rough-paths approach to non-commutative stochastic calculus ⋮ Free Jacobi process
Cites Work
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- Limit laws for random matrices and free products
- Wishart processes
- Stochastic calculus with respect to free Brownian motion and analysis on Wigner space
- Large deviation bounds for matrix Brownian motion
- Computation of some examples of Brown's spectral measure in free probability
- Free Random Variables
- On the free convolution with a semi-circular distribution
- On the multiplication of free N -tuples of noncommutative random variables
- Free diffusions, free entropy and free Fisher information
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