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Eigenvalues of the Laguerre Process as Non-Colliding Squared Bessel Processes
Wishart and Laguerre ensembles and processes eigenvalues as diffusions non-colliding squared Bessel processes
2009/5/4
Let A(t) be an n-times-p matrix with independent standard complex Brownian entries and set M(t)=A(t)*A(t). This is a process version of the Laguerre ensemble and as such we shall refer to it as the La...