Stochastic Differential Equations for Eigenvalues and Eigenvectors of a G-Wishart Process with Drift

Selma Meradji, Badji Mokhtar University Annaba-Algeria

The aim of this paper is to give a system of G-SDEs for the eigenvalues and the eigenvectors of the G-Wishart process, defined from a G-Brownian motion matrix as in the classical case. Since we haven't necessarily the independence between the entries of the G-Brownian motion matrix, we assume in our model that their quadratic co-variations are zero. An intermediate result which states that the eigenvalues never collide was also obtained. This extends Bru's results obtained for the classical Wishart process (1989).

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