Singular-values of matrix-valued Ornstein-Uhlenbeck processes

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.

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Year of publication:	1999
Authors:	Le, Huiling
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 82.1999, 1, p. 53-60
Publisher:	Elsevier
Keywords:	Measure-valued diffusions Singular-values the Wigner law

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008873688