Integrated Wishart bridge processes and generalised Hartman-Watson law
Probability
2020-11-17 v1
Abstract
This article is concerned with the joint law of an integrated Wishart bridge process and the trace of an integrated inverse Wishart bridge process over the interval . Its Laplace transform is obtained by studying the Wishart bridge processes and the absolute continuity property of Wishart laws.
Cite
@article{arxiv.2011.07422,
title = {Integrated Wishart bridge processes and generalised Hartman-Watson law},
author = {Jason Leung},
journal= {arXiv preprint arXiv:2011.07422},
year = {2020}
}