Matrix Dufresne Identities (Q5744703)

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scientific article; zbMATH DE number 6542668
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English
Matrix Dufresne Identities
scientific article; zbMATH DE number 6542668

    Statements

    title
    Matrix Dufresne Identities (English)
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    DOI
    10.1093/imrn/rnv127
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    author
    Brian Rider
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    Benedek Valkó
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    publication date
    19 February 2016
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    Mathematics Subject Classification ID
    60H99
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    60B20
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    60H10
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    60J65
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    60J60
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    zbMATH DE Number
    6542668
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    zbMATH Keywords
    Dufresne identity
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    matrix processes
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    Brownian motion
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    matrix-valued diffusions
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    stochastic differential equations
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