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Pré-Publication, Document De Travail Année : 2005

Laguerre Process and Generalised Hartman-Watson Law

Résumé

In this paper, we study complex Wishart processes or the so-called Laguerre processes. We give some interest to the behaviour of the eigenvalues process, derive some useful SDE and compute both infinitesimal generator and semi-group. We also give absolute-continuity relations between different indices.Then, we compute the density function of the generalised Hartman-Watson law as well as the law of the first hitting time of 0 when the size m=2.
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Dates et versions

hal-00009439 , version 1 (03-10-2005)
hal-00009439 , version 2 (07-10-2005)
hal-00009439 , version 3 (28-11-2006)

Identifiants

  • HAL Id : hal-00009439 , version 2

Citer

Nizar Demni. Laguerre Process and Generalised Hartman-Watson Law. 2005. ⟨hal-00009439v2⟩
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