اشترك بالحزمة الذهبية واحصل على وصول غير محدود شمرا أكاديميا
تسجيل مستخدم جديدHigh-dimensional limits of eigenvalue distributions for general Wishart process
57
0
0.0
(
0
)
اسأل ChatGPT حول البحث
ﻻ يوجد ملخص باللغة العربية
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. The equation of the limit measure is further discussed assuming self-similarity on the eigenvalues.
قيم البحث
اقرأ أيضاً
We consider eigenvalues of generalized Wishart processes as well as particle systems, of which the empirical measures converge to deterministic measures as the dimension goes to infinity. In this paper, we obtain central limit theorems to characteriz
e the fluctuations of the empirical measures around the limit measures by using stochastic calculus. As applications, central limit theorems for the Dysons Brownian motion and the eigenvalues of the Wishart process are recovered under slightly more general initial conditions, and a central limit theorem for the eigenvalues of a symmetric Ornstein-Uhlenbeck matrix process is obtained.
In this article, we study high-dimensional behavior of empirical spectral distributions ${L_N(t), tin[0,T]}$ for a class of $Ntimes N$ symmetric/Hermitian random matrices, whose entries are generated from the solution of stochastic differential equat
ion driven by fractional Brownian motion with Hurst parameter $H in(1/2,1)$. For Wigner-type matrices, we obtain almost sure relative compactness of ${L_N(t), tin[0,T]}_{Ninmathbb N}$ in $C([0,T], mathbf P(mathbb R))$ following the approach in cite{Anderson2010}; for Wishart-type matrices, we obtain tightness of ${L_N(t), tin[0,T]}_{Ninmathbb N}$ on $C([0,T], mathbf P(mathbb R))$ by tightness criterions provided in Appendix ref{subset:tightness argument}. The limit of ${L_N(t), tin[0,T]}$ as $Nto infty$ is also characterised.
We establish an explicit expression for the conditional Laplace transform of the integrated Volterra Wishart process in terms of a certain resolvent of the covariance function. The core ingredient is the derivation of the conditional Laplace transfor
m of general Gaussian processes in terms of Fredholms determinant and resolvent. Furthermore , we link the characteristic exponents to a system of non-standard infinite dimensional matrix Riccati equations. This leads to a second representation of the Laplace transform for a special case of convolution kernel. In practice, we show that both representations can be approximated by either closed form solutions of conventional Wishart distributions or finite dimensional matrix Riccati equations stemming from conventional linear-quadratic models. This allows fast pricing in a variety of highly flexible models, ranging from bond pricing in quadratic short rate models with rich autocorrelation structures, long range dependence and possible default risk, to pricing basket options with covariance risk in multivariate rough volatility models.
In this article, we establish a limiting distribution for eigenvalues of a class of auto-covariance matrices. The same distribution has been found in the literature for a regularized version of these auto-covariance matrices. The original non-regular
ized auto-covariance matrices are non invertible which introduce supplementary diffculties for the study of their eigenvalues through Girkos Hermitization scheme. The key result in this paper is a new polynomial lower bound for the least singular value of the resolvent matrices associated to a rank-defective quadratic function of a random matrix with independent and identically distributed entries. Another improvement in the paper is that the lag of the auto-covariance matrices can grow to infinity with the matrix dimension.
Strong negative dependence properties have recently been proved for the symmetric exclusion process. In this paper, we apply these results to prove convergence to the Poisson and normal distributions for various functionals of the process.
سجل دخول لتتمكن من نشر تعليقات
التعليقات
جاري جلب التعليقات
سجل دخول لتتمكن من متابعة معايير البحث التي قمت باختيارها
