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