TY - JOUR
AU - H. Boutabia
AU - S. Meradji
AU - S. Stihi
PY - 2019/04/25
Y2 - 2020/11/28
TI - Stochastic differential equations for eigenvalues
and eigenvectors of a $G$-Wishart process with drift
JF - Ukrains’kyi Matematychnyi Zhurnal
JA - Ukr. Mat. Zhurn.
VL - 71
IS - 4
SE - Research articles
DO -
UR - http://umj.imath.kiev.ua/index.php/umj/article/view/1454
AB - We propose a system of G-stochastic differential equations for the eigenvalues and eigenvectors of the $G$-Wishart processdefined according to a $G$-Brownian motion matrix as in the classical case. Since we do not necessarily have the independencebetween the entries of the $G$-Brownian motion matrix, we assume in our model that their quadratic covariations are zero.An intermediate result, which states that the eigenvalues never collide is also obtained. This extends Bru’s results obtainedfor the classical Wishart process (1989).
ER -