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Preprints, Working Papers, ... Year : 2006

Laguerre Process and Generalised Hartman-Watson Law

Abstract

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 and versions

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

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Nizar Demni. Laguerre Process and Generalised Hartman-Watson Law. 2006. ⟨hal-00009439v3⟩
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