Stochastic differential equations for eigenvalues and eigenvectors of a $G$-Wishart process with drift

• Дата: 2019
• Автори: Boutabia, H., Meradji, S., Stihi, S., Бутабія, Г., Мераджи, С., Стихи, С.
• Формат: Стаття
• Мова: Англійська
• Опубліковано: Institute of Mathematics, NAS of Ukraine 2019
• Онлайн доступ: https://umj.imath.kiev.ua/index.php/umj/article/view/1454
• Назва журналу: Ukrains’kyi Matematychnyi Zhurnal

We propose a system of G-stochastic differential equations for the eigenvalues and eigenvectors of the $G$-Wishart process defined according to a $G$-Brownian motion matrix as in the classical case. Since we do not necessarily have the independence between the entries of the $G$-Brownian motion matr...