Take the 2-minute tour ×
MathOverflow is a question and answer site for professional mathematicians. It's 100% free, no registration required.

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.

share|improve this question
add comment

1 Answer 1

up vote 1 down vote accepted

Yes. A quick search turns up papers like:

http://arxiv.org/pdf/math-ph/0402061.pdf

and

http://arxiv.org/pdf/1004.0301v2.pdf

share|improve this answer
add comment

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Not the answer you're looking for? Browse other questions tagged or ask your own question.