Laplacian and Brownian motion on positive definite matrices, revisited

DOI10.1016/j.spl.2022.109696OpenAlexW4304688603MaRDI QIDQ2105362

Yanyan Li

Publication date: 8 December 2022

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2022.109696

zbMATH Keywords

Brownian motioneigenvalue asymptoticsLaplace-Beltrami operatorpositivedefinite matrices

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65)

Cites Work

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• Interacting diffusions on positive definite matrices
• Stochastic Analysis
• Harmonic Analysis on Symmetric Spaces—Higher Rank Spaces, Positive Definite Matrix Space and Generalizations
• The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding
• Brownian Motion on a Symmetric Space of Non-Compact Type: Asymptotic Behaviour in Polar Coordinates
• On some exponential functionals of Brownian motion
• The Heat Equation on the Spaces of Positive Definite Matrices
• Brownian Motions of Ellipsoids
• Harmonic Analysis on Symmetric Spaces—Euclidean Space, the Sphere, and the Poincaré Upper Half-Plane
• Matrix Dufresne Identities

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