Derives coupled SDEs for eigenvalue and eigenvector-overlap processes in non-Hermitian Brownian motion and SPDEs for the regularized FK determinant random field.
K., Hall, B., Kemp, T.: The Brown measure of the free mu ltiplicative Brow- nian motion
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Eigenvalues, eigenvector-overlaps, and regularized Fuglede-Kadison determinant of the non-Hermitian matrix-valued Brownian motion
Derives coupled SDEs for eigenvalue and eigenvector-overlap processes in non-Hermitian Brownian motion and SPDEs for the regularized FK determinant random field.