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Eigenvalues of the Laguerre Process as Non-Colliding Squared Bessel Processes
König, Wolfgang; BRIMS, HP Labs - O'Connell, Neil; BRIMS, HP Labs
| Formato: |
Peer-reviewed Article, |
| Enlaces: |
 
Let $A(t)$ be an $n\times p$ matrix with independent standard complex Brownian entries and set $M(t)=A(t)^*A(t)$. This is a process version of the Laguerre ensemble and as such we shall refer to it as the Laguerre process. The purpose of…
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| Fecha: |
2001-01-01 |
| Recurso: |
Electronic communications in probability |
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