The Laguerre process and generalized Hartman–Watson law
نویسندگان
چکیده
منابع مشابه
The Laguerre process and generalized Hartman--Watson law
In this paper, we study complex Wishart processes or the so-called Laguerre processes (Xt)t≥0. We are interested in the behaviour of the eigenvalue process; we derive some useful stochastic differential equations and compute both the infinitesimal generator and the semi-group. We also give absolute-continuity relations between different indices. Finally, we compute the density function of the s...
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In this paper, we study complex Wishart processes or the so-called Laguerre processes (Xt) t≥0. We are interested in the behaviour of the eigenvalue process, we derive some useful stochastic differential equations and compute both the infinitesimal generator and the semi-group. We also give absolute-continuity relations between different indices. Finally, we compute the density function of the ...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2007
ISSN: 1350-7265
DOI: 10.3150/07-bej6048