Laguerre Process and Generalised Hartman-Watson Law

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dc.creatorDemni, Nizar
dc.date2006-11-28
dc.date.accessioned2026-07-07T07:33:26Z
dc.date.available2026-07-07T07:33:26Z
dc.descriptionIn 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.
dc.identifierhttps://arxiv.org/abs/math/0611863
dc.identifierhttp://arxiv.org/abs/math/0611863
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/119455
dc.subjectProbability
dc.titleLaguerre Process and Generalised Hartman-Watson Law
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