Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
The authors extend certain well-known properties of the squared Bessel process to the Wishart processes. Having proved the absolute continuity relationship for the Wishart processes with different dimensions, the authors are able to generalize a result for the Bessel processes which involves the Hartman-Watson distribution to the case of matrix-valued diffusions. Also, the authors give some extensions of the intertwining property and the time inversion results for the Bessel processes. For the latter, the authors introduce Wishart processes with drift.
scientific article; zbMATH DE number 2185485