The Laguerre process and generalized Hartman–Watson law
Demni, Nizar
Bernoulli, Tome 13 (2007) no. 1, p. 556-580 / Harvested from Project Euclid
In this paper, we study complex Wishart processes or the so-called Laguerre processes (Xt)t≥0. 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 T0:=inf {t, det (Xt)=0} when the size of the matrix is 2.
Publié le : 2007-05-14
Classification:  generalized Hartman–Watson law,  Gross–Richards formula,  Laguerre process,  special functions of matrix argument
@article{1179498761,
     author = {Demni, Nizar},
     title = {The Laguerre process and generalized Hartman--Watson law},
     journal = {Bernoulli},
     volume = {13},
     number = {1},
     year = {2007},
     pages = { 556-580},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1179498761}
}
Demni, Nizar. The Laguerre process and generalized Hartman–Watson law. Bernoulli, Tome 13 (2007) no. 1, pp.  556-580. http://gdmltest.u-ga.fr/item/1179498761/