A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion
Probability
2015-06-23 v2
Abstract
A functional limit theorem for the empirical measure-valued process of eigenvalues of a matrix fractional Brownian motion is obtained. It is shown that the limiting measure-valued process is the non-commutative fractional Brownian motion recently introduced by Nourdin and Taqqu. Young and Skorohod stochastic integral techniques and fractional calculus are the main tools used.
Cite
@article{arxiv.1409.8532,
title = {A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion},
author = {Juan Carlos Pardo and Victor Pérez-Abreu and José Luis Pérez-Garmendia},
journal= {arXiv preprint arXiv:1409.8532},
year = {2015}
}