2 papers
math.PR2015
Hermitian Functional Representation of Free Lévy Processes
José-Luis Pérez G., Víctor Pérez-Abreu, Alfonso Rocha-Arteaga
A functional representation of free Lévy processes is established via an ensemble of unitarily invariant Hermitian matrix-valued Lévy processes. This is accomplished by proving fun…
math.PR2015
On the process of the eigenvalues of a Hermitian Lévy process
Victor Pérez-Abreu, Alfonso Rocha-Arteaga
The dynamics of the eigenvalues (semimartingales) of a Lévy process with values in Hermitian matrices is described in terms of Itô stochastic differential equations with jumps.…