A random matrix approximation for the non-commutative fractional Brownian motion

DOI10.1007/s10959-015-0627-7zbMath1390.60037arXiv1409.8532OpenAlexW838915067MaRDI QIDQ501830

José Luis Pérez Garmendia, Juan Carlos Pardo, Victor Perez-Abreu

Publication date: 10 January 2017

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1409.8532

zbMATH Keywords

fractional calculusfree probabilityYoung integralmeasure-valued processmatrix fractional Brownian motion

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Random matrices (probabilistic aspects) (60B20) Free probability and free operator algebras (46L54) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items (9)

Convergence of the empirical spectral distribution of Gaussian matrix-valued processes ⋮ Integration with respect to the non-commutative fractional Brownian motion ⋮ On eigenvalues of the Brownian sheet matrix ⋮ On collision of multiple eigenvalues for matrix-valued Gaussian processes ⋮ Integration with respect to the Hermitian fractional Brownian motion ⋮ Collision of eigenvalues for matrix-valued processes ⋮ Recent advances on eigenvalues of matrix-valued stochastic processes ⋮ Asymptotic behavior of large Gaussian correlated Wishart matrices ⋮ On the non-commutative multifractional Brownian motion

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