Singular-values of matrix-valued Ornstein-Uhlenbeck processes

Huiling Le

Stochastic Processes and their Applications, 1999, vol. 82, issue 1, 53-60

Abstract: The system of singular-values of a square matrix whose components are independent Ornstein-Uhlenbeck processes corresponds to a diffusion model of interacting particles. We show that the weak limit, as the dimension of the matrix tends to infinity, of the associated empirical measure process is a deterministic measure-valued process and converges to a fixed law as the time t tends to infinity.

Keywords: Measure-valued; diffusions; Singular-values; the; Wigner; law (search for similar items in EconPapers)
Date: 1999
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