Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices

DOI10.1214/22-AIHP1338zbMATH Open1544.60095MaRDI QIDQ6596221

Neil O'Connell, Elia Bisi, Jonas Arista

Publication date: 2 September 2024

Published in: Annales de l'Institut Henri Poincaré. Probabilités et Statistiques (Search for Journal in Brave)

zbMATH Keywords

Lyapunov exponentsintertwining relationsmatrix variate distributionsmatrix Dufresne identitymatrix Matsumoto-Yor theoremstochastic matrix recursions and equationsWishart and beta distributions

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Random matrices (probabilistic aspects) (60B20) Stationary stochastic processes (60G10) Interacting random processes; statistical mechanics type models; percolation theory (60K35) Analysis on real and complex Lie groups (22E30) Exactly solvable models; Bethe ansatz (82B23)

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