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Matrix Valued Brownian Motion and a Paper by Pólya

  • Philippe BianeEmail author
Chapter
First Online:
Part of the Lecture Notes in Mathematics book series (LNM, volume 1979)

Abstract

This paper has two parts which are largely independent. In the first one I recall some known facts on matrix valued Brownian motion, which are not so easily found in this form in the literature. I will study three types of matrices, namely Hermitian matrices, complex invertible matrices, and unitary matrices, and try to give a precise description of the motion of eigenvalues (or singular values) in each case.

Keywords

Brownian Motion Symmetric Space Hermitian Form Hermitian Matrice Weyl Chamber 
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Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  1. 1.CNRS, Laboratoire d’Informatique Institut Gaspard Monge, Université Paris-Est 5 bd Descartes, Champs-sur-Marnecedex 2France

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