A characterization of Wishart processes and Wishart distributions

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:128

Article

Graczyk, Piotr¹  Malecki, Jacek²  Mayerhofer, Eberhard³ 

[1] Univ Angers, LAREMA, Angers, France

[2] Wroclaw Univ Sci & Technol, Fac Pure & Appl Math, Wroclaw, Poland

[3] Univ Limerick, Castletroy, County Limerick, Ireland

关键词: Wishart processes;    Wishart distributions;    Non-central Wishart distribution;    Gindikin set;    Affine processes;    Symmetric polynomials;   

DOI  :  10.1016/j.spa.2017.07.010

来源: Elsevier

【 摘 要 】

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. (C) 2017 Elsevier B.V. All rights reserved.

【 授权许可】

Free