Nualart, David; Pérez-Abreu, Victor - In: Stochastic Processes and their Applications 124 (2014) 12, pp. 4266-4282
We investigate the process of eigenvalues of a symmetric matrix-valued process which upper diagonal entries are independent one-dimensional Hölder continuous Gaussian processes of order γ∈(1/2,1). Using the stochastic calculus with respect to the Young integral we show that these eigenvalues...