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On Free Stochastic Differential Equations

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Listed:
  • Vladislav Kargin

    (Stanford University)

Abstract

The paper derives an equation for the Cauchy transform of the solution of a free stochastic differential equation (SDE). This new equation is used to solve several particular examples of free SDEs.

Suggested Citation

  • Vladislav Kargin, 2011. "On Free Stochastic Differential Equations," Journal of Theoretical Probability, Springer, vol. 24(3), pages 821-848, September.
    • Handle: RePEc:spr:jotpro:v:24:y:2011:i:3:d:10.1007_s10959-011-0341-z
    DOI: 10.1007/s10959-011-0341-z
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    References listed on IDEAS

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    1. M. Capitaine & C. Donati-Martin, 2005. "Free Wishart Processes," Journal of Theoretical Probability, Springer, vol. 18(2), pages 413-438, April.
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