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Transactions of the American Mathematical Society
Article . 1986 . Peer-reviewed
Data sources: Crossref
Transactions of the American Mathematical Society
Article . 1986 . Peer-reviewed
Data sources: Crossref
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Brownian Motions of Ellipsoids

Brownian motions of ellipsoids
Authors: James Norris; David Williams; L. C. G. Rogers;

Brownian Motions of Ellipsoids

Abstract

The object of this paper is to provide an elementary treatment (involving no differential geometry) of Brownian motions of ellipsoids, and, in particular, of some remarkable results first obtained by Dynkin. The canonical right-invariant Brownian motion G = { G ( t ) } G = \{ G(t)\} on GL ( n ) {\text {GL}}(n) induces processes X = G G T X = G{G^T} and Y = G T G Y = {G^T}G on the space of positive-definite symmetric matrices. The motion of the common eigenvalues of X X and Y Y is analysed. It is further shown that the orthonormal frame of eigenvectors of X X ultimately behaves like Brownian motion on O ( n ) {\text {O}}(n) , while that of Y Y converges to a limiting value. The Y Y process is that studied by Dynkin and Orihara. From a naive standpoint, the X X process would seem to provide a more natural model.

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Keywords

Diffusion processes and stochastic analysis on manifolds, Random matrices (algebraic aspects), Stratonovich differential, Brownian motions of ellipsoids, Itô's formula, orthonormal frame of eigenvectors, Brownian motion, Diffusion processes, positive-definite symmetric matrices

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citations
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
41
Top 10%
Top 10%
Average
bronze
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