The explicit Laplace transform for the Wishart process
type: Item
instance of: scholarly article
zbMATH Open document ID: 1304.65008
author: Alessandro Gnoatto
author: Martino Grasselli
published in: Journal of Applied Probability
publication date: 2014-10-15T00:00:00Z
full work available at URL: https://arxiv.org/abs/1107.2748
full work available at URL: https://projecteuclid.org/euclid.jap/1409932664
Mathematics Subject Classification ID: 65C30
Mathematics Subject Classification ID: 60H35
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 44A10
Mathematics Subject Classification ID: 60H20
zbMATH DE Number: 6356250
zbMATH Keywords: affine process
zbMATH Keywords: Wishart process
zbMATH Keywords: ordinary differential equation
zbMATH Keywords: Laplace transform
MaRDI profile type: Publication
OpenAlex ID: W3123540654
arXiv ID: 1107.2748
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DOI: 10.1239/JAP/1409932664
title: The explicit Laplace transform for the Wishart process
review text: 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.
reviewed by: Maria C. Mariani
description: scientific article; zbMATH DE number 6356250