Recent advances on eigenvalues of matrix-valued stochastic processes

Abstract Since the introduction of Dyson’s Brownian motion in early 1960s, there have been a lot of developments in the investigation of stochastic processes on the space of Hermitian matrices. Their properties, especially, the properties of their eigenvalues have been studied in great detail. In particular, the limiting behaviours of the eigenvalues are found when the dimension of the matrix space tends to infinity, which connects with random matrix theory. This survey reviews a selection of results on the eigenvalues of stochastic processes from the literature of the past three decades. For most recent variations of such processes, such as matrix-valued processes driven by fractional Brownian motion or Brownian sheet, the eigenvalues of them are also discussed in this survey. In the end, some open problems in the area are also proposed.