Brownian Motions of Ellipsoids

DOI10.2307/2000214zbMath0613.60072OpenAlexW4254331962MaRDI QIDQ4720500

David Williams, L. C. G. Rogers, James R. Norris

Publication date: 1986

Full work available at URL: https://doi.org/10.2307/2000214

zbMATH Keywords

Itô's formulaStratonovich differentialpositive-definite symmetric matricesBrownian motions of ellipsoidsorthonormal frame of eigenvectors

Mathematics Subject Classification ID

Brownian motion (60J65) Diffusion processes (60J60) Diffusion processes and stochastic analysis on manifolds (58J65) Random matrices (algebraic aspects) (15B52)

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Cites Work

• A Brownian-Motion Model for the Eigenvalues of a Random Matrix
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