Some Properties of the Wishart Processes and a Matrix Extension of the Hartman–Watson Laws
Catherine Donati-MartinUniversité Paris VI et VII, France
Marc YorUniversité Paris VI, France
Yan DoumercUniversité Toulouse III, Toulouse, France
Hiroyuki MatsumotoNagoya University, Japan
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.
Cite this article
Catherine Donati-Martin, Marc Yor, Yan Doumerc, Hiroyuki Matsumoto, Some Properties of the Wishart Processes and a Matrix Extension of the Hartman–Watson Laws. Publ. Res. Inst. Math. Sci. 40 (2004), no. 4, pp. 1385–1412DOI 10.2977/PRIMS/1145475450