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

Publications of the Research Institute for Mathematical Sciences

Volumn 40, Issue 4, 2004, Pages 1385-1412

  Donati Martin, Catherine ^a   Doumerc, Yan ^b   Matsumoto, Hiroyuki ^c   Yor, Marc ^a  

^a SORBONNE UNIVERSITÉ   (France)

^b INSTITUT DE MATHÉMATIQUES DE TOULOUSE   (France)

^c NAGOYA UNIVERSITY   (Japan)

Author keywords

Bessel processes; Hartman Watson distributions; Time inversion; Wishart processes

Indexed keywords

EID: 17444381865     PISSN: 00345318     EISSN: 16634926     Source Type: Journal    
DOI: 10.2977/prims/1145475450     Document Type: Article

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