Université Paris 6
Pierre et Marie Curie
Université Paris 7
Denis Diderot

CNRS U.M.R. 7599
``Probabilités et Modèles Aléatoires''

Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws


Code(s) de Classification MSC:

Résumé: 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.

Mots Clés: Bessel processes ; Wishart processes ; Time inversion ; Hartman-Watson distributions

Date: 2003-12-17

Prépublication numéro: PMA-872