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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.

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.

Thanks beforehand.

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up vote 1 down vote accepted

Yes. A quick search turns up papers like:


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