High-dimensional limits of eigenvalue distributions for general Wishart process

16 Sep 2019 Song Jian Yao Jianfeng Yuan Wangjun

In this article, we obtain an equation for the high-dimensional limit measure of eigenvalues of generalized Wishart processes, and the results is extended to random particle systems that generalize SDEs of eigenvalues. We also introduce a new set of conditions on the coefficient matrices for the existence and uniqueness of a strong solution for the SDEs of eigenvalues... (read more)

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