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Journal of Theoretical Probability

, Volume 4, Issue 4, pp 725–751 | Cite as

Wishart processes

  • Marie-France Bru
Article

Abstract

We propose some matrix generalizations of square Bessel processes and we indicate their first properties: hitting time of 0 of the smallest eigenvalue, additivity property, associated Martingales, distributions, which mainly extend the real-valued classical results. We explain why these processes are indecomposable and therefore differ from the real-valued ones. We conclude with some formulae concerning matrix quadratic functionals analogous to the Cameron Martin formula.

Key Words

Wishart distribution Bessel process matrix diffusions special matrix functions Cameron Martin formulae 

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Copyright information

© Plenum Publishing Corporation 1991

Authors and Affiliations

  • Marie-France Bru
    • 1
  1. 1.Départment de MathématiquesUniversité Paris 7ParisFrance

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