Generalized Wishart processes under nonlinear expectation
We develop a theory of generalized Wishart processes within the framework of $G$-expectation, with $G$-Dyson Brownian motion and the $G$-Wishart process as two typical examples. In contrast to the classical setting, we show that $G$-Dyson Brownian motion may exhibit collisions and provide a sufficient condition ensuring the non-collision of the eigenvalues of generalized Wishart processes. We then derive the equations governing the high-dimensional limits of the empirical spectral measures under $G$-expectation, leading to the corresponding semicircle law for $G$-Dyson Brownian motion and Marchenko--Pastur law for the $G$-Wishart process.
Authors
- Yiran Mi
- Xinpeng Li
- Shuzhen Yang (ORCID: https://orcid.org/0000-0001-8501-7634)
- Jian Song
Publication Details
- Journal
- arXiv (Cornell University)
- Published
- 2026-11-02
- DOI
- https://doi.org/10.48550/arxiv.2611.02728
- Primary Topic
- Random Matrices and Applications
- Type
- preprint