Stochastic differential equations for eigenvalues of ε–Wishart process in the G-Framework

Manel Belksier; Hacène Boutabia; Rania Bougherra; Academic Editor: Youssef EL FOUTAYENI

Research Communication | Open Access
Volume 2019 | Communication ID 9

Stochastic differential equations for eigenvalues of ε–Wishart process in the G-Framework

Manel Belksier, Hacène Boutabia, Rania Bougherra

Academic Editor: Youssef EL FOUTAYENI

Received	Accepted	Published
Oct 20, 2018	Dec 31, 2018	Mar 01, 2019

Abstract: In the present paper, we introduce at first a new process called multivariate fractional Brownian motion (B_{t}^{H}) to the setting of non linear G-expectation, where the Hurst parameter H is a diagonal matrix. Then we obtain a system of G-stochastic differential equations of eigenvalues of ε–Wishart process defined from a multivariate G-fractional Brownian motion of its Riemann-Liouville part. Finally, we prove that the eigenvalues never collide at any time.