The Explicit Laplace Transform for the Wishart Process
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Publication:2923426
DOI10.1239/jap/1409932664zbMath1304.65008arXiv1107.2748OpenAlexW3123540654MaRDI QIDQ2923426
Alessandro Gnoatto, Martino Grasselli
Publication date: 15 October 2014
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.2748
Stochastic models in economics (91B70) Laplace transform (44A10) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) Stochastic integral equations (60H20)
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