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On the Free Fractional Wishart Process

We investigate the process of eigenvalues of a fractional Wishart process defined as N=B*B, where B is a matrix fractional Brownian motion recently studied by Nualart and Pérez-Abreu. Using stochastic calculus with respect to the Young integral we show that the eigenvalues do not collide at any time with probability one. When the matrix process B has entries given by independent fractional Brownian motions with Hurst parameter $H\in(1/2,1)$ we derive a stochastic differential equation in a Malliavin calculus sense for the eigenvalues of the corresponding fractional Wishart process. Finally a functional limit theorem for the empirical measure-valued process of eigenvalues of a fractional Wishart process is obtained. The limit is characterized and referred to as the free fractional Wishart process which constitutes the family of fractional dilations of the free Poisson distribution.