The explicit Laplace transform for the Wishart process (Q2923426)
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scientific article; zbMATH DE number 6356250
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The explicit Laplace transform for the Wishart process |
scientific article; zbMATH DE number 6356250 |
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15 October 2014
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affine process
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Wishart process
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ordinary differential equation
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Laplace transform
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The explicit Laplace transform for the Wishart process (English)
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The authors derive an explicit formula for the joint Laplace transform of the Wishart process and its time integral, and they also compare this methodology with previous results.
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