2024/02/26 by Charles Bertucci, Bertucci, Charles, Jean‐Michel Lasry +3
Mathematics · Economics, Econometrics and Finance · #Random Matrices and Applications #Stochastic processes and financial applications #Stochastic processes and statistical mechanics
paper · pdf · doi:10.48550/arxiv.2402.16376
This paper is the second of a series devoted to the study of the dynamics of the spectrum of large random matrices. We study general extensions of the partial differential equation arising to characterize the limit spectral measure of the Dyson Brownian motion. We provide a regularizing result for those generalizations. We also show that several results of part I extend to cases in which there is no spectral dominance property. We then provide several modeling extensions of such models as well as several identities for the Dyson Brownian motion.