A characterization of Wishart processes and Wishart distributions

Piotr Graczyk, Jacek Małecki and Eberhard Mayerhofer

Stochastic Processes and their Applications, 2018, vol. 128, issue 4, 1386-1404

Abstract: A characterization of the existence of non-central Wishart distributions (with shape and non-centrality parameter) as well as the existence of solutions to Wishart stochastic differential equations (with initial data and drift parameter) in terms of their exact parameter domains is given. These two families are the natural extensions of the non-central chi-square distributions and the squared Bessel processes to the positive semidefinite matrices.

Keywords: Wishart processes; Wishart distributions; Non-central Wishart distribution; Gindikin set; Affine processes; Symmetric polynomials (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:128:y:2018:i:4:p:1386-1404

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DOI: 10.1016/j.spa.2017.07.010

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