Title：On the Law of Large Numbers and Central Limit Theorem for the Wishart-Dyson Brownian motion
Speaker: Rong Lei（AMSS, Chinese Academy of Sciences）
Time: Monday, June12, 2023, 15:15-17:00
Location: Mingde Building B201-1
Zoom ID: 886 6172 3539 Password：046381
Abstract:We study the Wishart-Dyson Brownian motion with a potential F. In particular, we prove that the large N limit of the empirical measure processes (called the McKean-Vlasov equation) has a unique weak solution when F satisfies some convexity condition. This leads us to establish the Law of Large Numbers and derive the propagation of chaos for the Wishart-Dyson Brownian motion. Furthermore, we prove the Functional Central Limit Theorem for the empirical measure processes of Wishart-Dyson Brownian motion. Joint work with Prof. Xiangdong Li.
