The Laguerre process and generalized Hartman--Watson law
Probability
2009-09-29 v1 Statistics Theory
Statistics Theory
Abstract
In this paper, we study complex Wishart processes or the so-called Laguerre processes . We are interested in the behaviour of the eigenvalue process; we derive some useful stochastic differential equations and compute both the infinitesimal generator and the semi-group. We also give absolute-continuity relations between different indices. Finally, we compute the density function of the so-called generalized Hartman--Watson law as well as the law of when the size of the matrix is 2.
Cite
@article{arxiv.0708.4186,
title = {The Laguerre process and generalized Hartman--Watson law},
author = {Nizar Demni},
journal= {arXiv preprint arXiv:0708.4186},
year = {2009}
}
Comments
Published at http://dx.doi.org/10.3150/07-BEJ6048 in the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)