Laguerre Process and Generalised Hartman-Watson Law
Probability
2007-05-23 v1
Abstract
In this paper, we study complex Wishart processes or the so-called Laguerre processes. We give some interest to the behaviour of the eigenvalues process, derive some useful SDE and compute both infinitesimal generator and semi-group. We also give absolute-continuity relations between different indices.Then, we compute the density function of the generalised Hartman-Watson law as well as the law of the first hitting time of 0 when the size m=2.
Cite
@article{arxiv.math/0611863,
title = {Laguerre Process and Generalised Hartman-Watson Law},
author = {Nizar Demni},
journal= {arXiv preprint arXiv:math/0611863},
year = {2007}
}