A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion View Full Text


Ontology type: schema:ScholarlyArticle      Open Access: True


Article Info

DATE

2016-12

AUTHORS

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

ABSTRACT

A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion recently introduced by Nourdin and Taqqu (J Theor Probab 27:220–248, 2014). Young and Skorohod stochastic integral techniques and fractional calculus are the main tools used. More... »

PAGES

1581-1598

Identifiers

URI

http://scigraph.springernature.com/pub.10.1007/s10959-015-0627-7

DOI

http://dx.doi.org/10.1007/s10959-015-0627-7

DIMENSIONS

https://app.dimensions.ai/details/publication/pub.1015854136


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