Some properties of the wishart processes and a matrix extension of the Hartman-Watson laws

被引：32

作者：

Donati-Martin, C

Doumerc, Y

Matsumoto, H

Yor, M

机构：

[1] Univ Paris 06, Lab Probabilites & Modeles Aleatoires, F-75252 Paris, France

[2] Univ Toulouse 3, Lab Stat & Probabilites, F-31062 Toulouse, France

[3] Nagoya Univ, Grad Sch Informat Sci, Chikusa Ku, Nagoya, Aichi 4648601, Japan

来源：

PUBLICATIONS OF THE RESEARCH INSTITUTE FOR MATHEMATICAL SCIENCES | 2004年 / 40卷 / 04期

关键词：

D O I：

10.2977/prims/1145475450

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

The aim of this paper is to discuss for Wishart processes some properties which are analogues of the corresponding well-known ones for Bessel processes. In fact, we mainly concentrate on the local absolute continuity relationship between the laws of Wishart processes with different dimensions, a property which, in the case of Bessel processes, has proven to play a rather important role in a number of applications.

引用

页码：1385 / 1412

页数：28

共 39 条

[1] Optimal bounds for Cauchy approximations for the winding distribution of planar Brownian motion [J].