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arXiv · 1409.8532

A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion

Juan Carlos Pardo·Victor Pérez-Abreu·José Luis Pérez-Garmendia
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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.

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Juan Carlos Pardo, Victor Pérez-Abreu, José Luis Pérez-Garmendia. 2014-09-30. A Random Matrix Approximation for the Non-commutative Fractional Brownian Motion. https://arxiv.org/abs/1409.8532

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