Wishart matrix and the wave equation

Calcul de Malliavin et processus fractionnaires

Lieu: 
Salle de visioconférence - 2e étage du M3
Orateur: 
Julie Gamain
Dates: 
Vendredi, 4 Février, 2022 - 14:00 - 15:00
Résumé: 

We consider a Wishart matrix W_{n,d} associated to X_{n,d}, a n x d random matrix in which the entries are increments of the solution to the stochastic wave equation driven by a space-time white noise, W^(i), where W^(i), for i=1,..., n, are independent white noises. In fact, the elements of the random matrix located on different rows are independent while on a same row, there is a correlation. This correlation is given by the spatial or temporal increments of the solution to the stochastic wave equation. The aim is to analyse the limit behavior of this Wishart matrix by using Malliavin calculus.