Some Properties of the Wishart Processes and a Matrix Extension of the Hartman-Watson Laws †
Some Properties of the Wishart Processes and a Matrix Extension of the Hartman-Watson Laws †
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DOI：
10.2977/prims/1145475450
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发表时间：
2004-12
影响因子：
1.2
通讯作者：
C. Donati-Martin;Yan Doumerc;H. Matsumoto;M. Yor
中科院分区：
文献类型：
--
作者：
C. Donati-Martin;Yan Doumerc;H. Matsumoto;M. Yor
本文的目的是讨论Wishart过程的一些性质，这些性质类似于Bessel过程的相应的已知性质。事实上，我们主要集中在Wishart过程的法律与不同的维度，一个属性，在贝塞尔过程的情况下，已被证明在一些应用中发挥了相当重要的作用之间的局部绝对连续性关系。
The aim of this paper is to discuss for Wishart processes some properties which are analogues of the corresponding well-known ones for Bessel processes. In fact, we mainly concentrate on the local absolute continuity relationship between the laws of Wishart processes with different dimensions, a property which, in the case of Bessel processes, has proven to play a rather important role in a number of applications.