Stochastic processes with random matrices - MathOverflow most recent 30 from http://mathoverflow.net 2013-05-18T21:19:44Z http://mathoverflow.net/feeds/question/102524 http://www.creativecommons.org/licenses/by-nc/2.5/rdf http://mathoverflow.net/questions/102524/stochastic-processes-with-random-matrices Stochastic processes with random matrices Jon 2012-07-18T09:46:16Z 2012-07-18T10:22:13Z <p>I am currently working on complex networks. I consider a matrix $\cal N$ with random entries $\delta_{ik}$. These entries are varying randomly in time and so I have a sequence of random matrices that determines a stochastic process.</p> <p>My question is quite simple: Does it exist a generalization of standard stochastic differential equations to random matrices like the case I am considering? Also relevant references are a good answer.</p> <p>Thanks beforehand.</p> http://mathoverflow.net/questions/102524/stochastic-processes-with-random-matrices/102526#102526 Answer by Jon Bannon for Stochastic processes with random matrices Jon Bannon 2012-07-18T10:22:13Z 2012-07-18T10:22:13Z <p>Yes. A quick search turns up papers like:</p> <p><a href="http://arxiv.org/pdf/math-ph/0402061.pdf" rel="nofollow">http://arxiv.org/pdf/math-ph/0402061.pdf</a></p> <p>and</p> <p><a href="http://arxiv.org/pdf/1004.0301v2.pdf" rel="nofollow">http://arxiv.org/pdf/1004.0301v2.pdf</a></p>