JournalsprimsVol. 40, No. 4pp. 1385–1412

Some Properties of the Wishart Processes and a Matrix Extension of the Hartman–Watson Laws

  • Catherine Donati-Martin

    Université Paris VI et VII, France

  • Yan Doumerc

    Université Toulouse III, Toulouse, France

  • Hiroyuki Matsumoto

    Nagoya University, Japan

  • Marc Yor

    Université Paris VI, France
Some Properties of the Wishart Processes and a Matrix Extension of the Hartman–Watson Laws cover
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Abstract

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, Yan Doumerc, Hiroyuki Matsumoto, Marc Yor, 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. 1385–1412

DOI 10.2977/PRIMS/1145475450