Free Wishart Processes

M. Capitaine () and C. Donati-Martin ()
Additional contact information
M. Capitaine: Université Paul Sabatier
C. Donati-Martin: LPMA-Université Paris 6

Journal of Theoretical Probability, 2005, vol. 18, issue 2, 413-438

Abstract: Abstract Using a matrix approach, we define free Wishart processes of parameter λ > 0 and prove a free additivity property and invertibility for λ > 1. For λ ≥ 1, we show that a free Wishart process is a solution of a SDE of square Bessel process type, driven by a free complex Brownian motion. In the case λ > 1, we establish existence and uniqueness of a strong solution of such a SDE.

Keywords: Free probability; random matrices; Wishart processes (search for similar items in EconPapers)
Date: 2005
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://link.springer.com/10.1007/s10959-005-3511-z Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:jotpro:v:18:y:2005:i:2:d:10.1007_s10959-005-3511-z

Ordering information: This journal article can be ordered from
https://www.springer.com/journal/10959

DOI: 10.1007/s10959-005-3511-z

Access Statistics for this article

Journal of Theoretical Probability is currently edited by Andrea Monica

More articles in Journal of Theoretical Probability from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().