I am currently working on complex networks. I consider a matrix $\cal N$ with random entries $\delta\_{ik}$. These entries are varying randomly in time and so I have a sequence of random matrices that determines a stochastic process.


My question is quite simple: Does it exist a generalization of standard stochastic differential equations to random matrices like the case I am considering? Also relevant references are a good answer.


Thanks beforehand.



Stochastic processes with random matrices
Yes. A quick search turns up papers like:


<http://arxiv.org/pdf/math-ph/0402061.pdf>


and


<http://arxiv.org/pdf/1004.0301v2.pdf>


