High-dimensional limits of eigenvalue distributions for general Wishart process

Abstract

In this article, we obtain an equation for the high-dimensional limit measure of eigenvalues of generalized Wishart processes, and the results are extended to random particle systems that generalize SDEs of eigenvalues. We also introduce a new set of conditions on the coefficient matrices for the existence and uniqueness of a strong solution for the SDEs of eigenvalues. The equation of the limit measure is further discussed assuming self-similarity on the eigenvalues.