TY  - JOUR
ID  - Stihi2018
LB  - Stihi2018
AU  - Stihi, Sara
AU  - Boutabia, Hacène
AU  - Meradji, Selma
TI  - Stochastic differential equations for random matrices processes in the nonlinear framework
ST  - Stochastic differential equations for random matrices processes in the nonlinear framework
JO  - Opuscula Math.
JA  - Opuscula Math.
JF  - Opuscula Mathematica
PY  - 2018
VL  - 38
IS  - 2
SP  - 261
EP  - 283
DO  - https://doi.org/10.7494/OpMath.2018.38.2.261
UR  - https://doi.org/10.7494/OpMath.2018.38.2.261
AB  - In this paper, we investigate the processes of eigenvalues and eigenvectors of a symmetric matrix valued process \(X_{t}\), where \(X_{t}\) is the solution of a general SDE driven by a \(G\)-Brownian motion matrix. Stochastic differential equations of these processes are given. This extends results obtained by P. Graczyk and J. Malecki in [Multidimensional Yamada-Watanabe theorem and its applications to particle systems, J. Math. Phys. 54 (2013), 021503].
KW  - \(G\)-Brownian motion matrix
KW  - \(G\)-stochastic differential equations
KW  - random matrices
KW  - eigenvalues
KW  - eigenvectors
SN  - 1232-9274
ER  -