High-dimensional central limit theorems for a class of particle systems

We consider a class of particle systems that generalizes the eigenvalues of a class of matrix-valued processes, of which the empirical measures converge to deterministic measures as the dimension goes to infinity. In this paper, we obtain central limit theorems (CLTs) to characterize the fluctuations of the empirical measures around the limit measures by using stochastic calculus. As applications, CLTs for Dyson's Brownian motion and the eigenvalues of Wishart process are recovered under slightly more general initial conditions, and a CLT for the eigenvalues of a symmetric matrix-valued Ornstein-Uhlenbeck process is obtained.