Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
type: Item
instance of: scholarly article
title: Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
zbMATH Open document ID: 1076.60067
author: Catherine Donati-Martin
author: Yan Doumerc
author: Hiroyuki Matsumoto
author: Marc Yor
published in: Publications of the Research Institute for Mathematical Sciences, Kyoto University
publication date: 2005-07-01T00:00:00Z
review text: 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.
reviewed by: Alexander Mitrophanov
Mathematics Subject Classification ID: 60J60
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 15B52
zbMATH DE Number: 2185485
zbMATH Keywords: Bessel process
zbMATH Keywords: time inversion
zbMATH Keywords: Hartman-Watson distribution
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.2977/prims/1145475450
OpenAlex ID: W1994360393
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DOI: 10.2977/PRIMS/1145475450
description: scientific article; zbMATH DE number 2185485