Stochastic differential equations for eigenvalues and eigenvectors of a $G$-Wishart process with drift
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...
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| Datum: | 2019 |
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| Hauptverfasser: | , , , , , |
| Format: | Artikel |
| Sprache: | Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2019
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/1454 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |