Dyson Brownian motion
id:
dyson-brownian-motion-258-17746505
title:
Dyson Brownian motion
text:
In mathematics, the Dyson Brownian motion is a real-valued continuous-time stochastic process named for Freeman Dyson. Dyson studied this process in the context of random matrix theory. There are several equivalent definitions: Definition by stochastic differential equation: where B 1 , . . . , B n are different and independent Wiener processes. Start with a Hermitian matrix with eigenvalues λ 1 , λ 2 , . . . , λ n , then let it perform Brownian motion in the space of Hermitian matrices. Its eig
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wiki
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encyclopedia
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original url:
https://en.wikipedia.org/wiki/Dyson_Brownian_motion
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date modified:
2023-11-28T05:35:01Z
main entity:
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