Some Properties of the Wishart Processes and a Matrix Extension of the Hartman–Watson Laws
Catherine Donati-Martin
Université Paris VI et VII, FranceMarc Yor
Université Paris VI, FranceYan Doumerc
Université Toulouse III, Toulouse, FranceHiroyuki Matsumoto
Nagoya University, Japan

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, 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. 1385–1412
DOI 10.2977/PRIMS/1145475450