This item is non-discoverable
Loading...
Non-discoverable
Matrix dufresne identities
Rider, B Valkó, B
Rider, B
Valkó, B
Citations
Altmetric:
Genre
Journal Article
Date
2016-01-01
Advisor
Committee member
Group
Department
Permanent link to this record
Collections
Research Projects
Organizational Units
Journal Issue
DOI
10.1093/imrn/rnv127
Abstract
© The Author(s) 2015. Published by Oxford University Press. We prove a version of the classical Dufresne identity for matrix processes. More specifically, we show that the inverse Wishart laws on the space of positive definite r × r matrices can be realized by ∫∞0 MsMTs ds in which t →MT is a drifted Brownian motion on GLr(ℝ). This solves a problem in the study of spiked random matrix ensembles which served as the original motivation for this result. Various known extensions of the Dufresne identity (and their applications) are also shown to have analogs in this setting. In particular, we identify matrix-valued diffusions built from Mt which generalize in a natural way the scalar processes figuring into the geometric L'evy and Pitman theorems of Matsumoto and Yor.
Description
Citation
Citation to related work
Oxford University Press (OUP)
Has part
International Mathematics Research Notices
ADA compliance
For Americans with Disabilities Act (ADA) accommodation, including help with reading this content, please contact scholarshare@temple.edu