Repository logo

Browsing by Subject "random matrices"

Filter results by typing the first few letters
Now showing 1 - 1 of 1
  • thumbnail.journal.alt
    Item type:Article, Access status: Open Access ,
    Stochastic differential equations for random matrices processes in the nonlinear framework
    (Wydawnictwa AGH, 2018) Stihi, Sara; Boutabia, Hacène; Meradji, Selma
    In this paper, we investigate the processes of eigenvalues and eigenvectors of a symmetric matrix valued process $X_{t}$, where $X_{t}$ is the solution of a general SDE driven by a $G$-Brownian motion matrix. Stochastic differential equations of these processes are given. This extends results obtained by P. Graczyk and J. Malecki in [Multidimensional Yamada-Watanabe theorem and its applications to particle systems, J. Math. Phys. 54 (2013), 021503].