Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices (Q6596221)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices |
scientific article; zbMATH DE number 7904820
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices |
scientific article; zbMATH DE number 7904820 |
Statements
Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices (English)
0 references
2 September 2024
0 references
intertwining relations
0 references
Lyapunov exponents
0 references
matrix Dufresne identity
0 references
matrix Matsumoto-Yor theorem
0 references
matrix variate distributions
0 references
stochastic matrix recursions and equations
0 references
Wishart and beta distributions
0 references
0 references
0 references
0 references
0 references
0 references
