Matrix Whittaker processes
Matrix Whittaker processes
Abstract We study a discrete-time Markov process on triangular arrays of matrices of size $$d\ge 1$$ <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML"><mml:mrow><mml:mi>d</mml:mi><mml:mo>≥</mml:mo><mml:mn>1</mml:mn></mml:mrow></mml:math> , driven by inverse Wishart random matrices. The components of the right edge evolve as multiplicative random walks on positive definite matrices with one-sided interactions and can be viewed as a d …