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Singular-values of matrix-valued Ornstein-Uhlenbeck processes

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  • Le, Huiling

Abstract

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.

Suggested Citation

  • Le, Huiling, 1999. "Singular-values of matrix-valued Ornstein-Uhlenbeck processes," Stochastic Processes and their Applications, Elsevier, vol. 82(1), pages 53-60, July.
  • Handle: RePEc:eee:spapps:v:82:y:1999:i:1:p:53-60
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