Related papers: Wishart processes : mean-field limit, long time be…
We consider the mean-field limit of systems of particles with singular interactions of the type $-\log|x|$ or $|x|^{-s}$, with $0< s<d-2$, and with an additive noise in dimensions $d \geq 3$. We use a modulated-energy approach to prove a…
In this paper, we prove a universality result of convergence for a bivariate random process defined by the eigenvectors of a sample covariance matrix. Let $V_n=(v_{ij})_{i \leq n,\, j\leq m}$ be a $n\times m$ random matrix, where $(n/m)\to…
Motivated by a theorem of Barbour, we revisit some of the classical limit theorems in probability from the viewpoint of the Stein method. We setup the framework to bound Wasserstein distances between some distributions on infinite…
We investigate long-time behaviors of empirical measures associated with subordinated Dirichlet diffusion processes on a compact Riemannian manifold $M$ with boundary $\partial M$ to some reference measure, under the quadratic Wasserstein…
This paper addresses the problem of estimating drift parameter of the Ornstein - Uhlenbeck type process, driven by the sum of independent standard and fractional Brownian motions. The maximum likelihood estimator is shown to be consistent…
The spectra of empirical correlation matrices, constructed from multivariate data, are widely used in many areas of sciences, engineering and social sciences as a tool to understand the information contained in typically large datasets. In…
We implement gradient-based variational inference routines for Wishart and inverse Wishart processes, which we apply as Bayesian models for the dynamic, heteroskedastic covariance matrix of a multivariate time series. The Wishart and…
A new multivariate stochastic volatility estimation procedure for financial time series is proposed. A Wishart autoregressive process is considered for the volatility precision covariance matrix, for the estimation of which a two step…
We study current fluctuations in a one-dimensional interacting particle system known as the dual smoothing process that is dual to random motions in a Howitt-Warren flow. The Howitt-Warren flow can be regarded as the transition kernels of a…
The mean-field approximations of many-boson dynamics are known to be effective in many physical relevant situations. The mathematical justifications of such approximations rely generally on specific considerations which depend too much on…
We extend Stein's celebrated Wasserstein bound for normal approximation via exchangeable pairs to the multi-dimensional setting. As an intermediate step, we exploit the symmetry of exchangeable pairs to obtain an error bound for smooth test…
We consider settings where the observations are drawn from a zero-mean multivariate (real or complex) normal distribution with the population covariance matrix having eigenvalues of arbitrary multiplicity. We assume that the eigenvectors of…
We consider the long-time behavior of a diffusion process on $\mathbb{R}^d$ advected by a stationary random vector field which is assumed to be divergence-free, dihedrally symmetric in law and have a log-correlated potential. A special case…
We develop and analyse an adaptive fully mixed finite element method for stationary generalized bioconvective flows, where the Navier--Stokes equations with concentration-dependent viscosity are coupled with a conservation law for swimming…
Mean-field theory is an approximation replacing an extended system by a few variables. For depinning of elastic manifolds, these are the position of its center of mass $u$, and the statistics of the forces $F(u)$. There are two proposals to…
We present an analytic method to determine spectral properties of the covariance matrices constructed of correlated Wishart random matrices. The method gives, in the limit of large matrices, exact analytic relations between the spectral…
We study the $\beta$ analogue of the nonintersecting Poisson random walks. We derive a stochastic differential equation of the Stieltjes transform of the empirical measure process, which can be viewed as a dynamical version of the…
This work is concerned with finite range bounds on the variance of individual eigenvalues of Wigner random matrices, in the bulk and at the edge of the spectrum, as well as for some intermediate eigenvalues. Relying on the GUE example,…
We apply the general theory of Cauchy biorthogonal polynomials developed previously by the authors, to the case associated with Laguerre measures. In particular, we obtain explicit formulae in terms of Meijer-G functions for all key objects…
We show how the replica method can be used to compute the asymptotic eigenvalue spectrum of a real Wishart product matrix. For unstructured factors, this provides a compact, elementary derivation of a polynomial condition on the Stieltjes…