A characterization of Wishart processes and Wishart distributions

DOI10.1016/J.SPA.2017.07.010zbMATH Open1391.60138arXiv1607.00206OpenAlexW2463300055MaRDI QIDQ1743347FDOQ1743347

Authors: Piotr Graczyk, Jacek Małecki, Eberhard Mayerhofer 

Publication date: 13 April 2018

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1607.00206

Recommendations

• On the existence of non-central Wishart distributions
• Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
• Free Wishart processes
• Wishart processes
• On Wishart and noncentral Wishart distributions on symmetric cones

zbMATH Keywords

symmetric polynomialsaffine processesnon-central Wishart distributionWishart processesWishart distributionsGindikin set

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Random matrices (probabilistic aspects) (60B20) Characterization and structure theory of statistical distributions (62E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Wishart processes
• Title not available (Why is that?)
• Path properties and regularity of affine processes on general state spaces
• Affine diffusion processes: theory and applications
• Affine processes on positive semidefinite matrices
• Polynomial processes and their applications to mathematical finance
• Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
• Multidimensional Yamada-Watanabe theorem and its applications to particle systems
• Proof of a conjecture of M.L. Eaton on the characteristic function of the Wishart distribution
• Invariant generalized functions in homogeneous domains
• The noncentral Wishart as an exponential family, and its moments
• On the existence of non-central Wishart distributions
• Strong solutions of non-colliding particle systems

Cited In (16)

• On Wishart and noncentral Wishart distributions on symmetric cones
• On Poincaré and Logarithmic Sobolev Inequalities for a Class of Singular Gibbs Measures
• On squared Bessel particle systems
• Title not available (Why is that?)
• Characterization of Wishart-Laplace distributions via Jordan algebra homomorphisms
• Universality classes for general random matrix flows
• Infinite-dimensional Wishart processes
• Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
• Free Wishart processes
• On the existence of non-central Wishart distributions
• Explosion time for some Laplace transforms of the Wishart process
• Matrix-valued Bessel processes
• The Laplace transform \((\det s)^{-p} \exp \operatorname{tr}(s^{-1}w)\) and the existence of non-central Wishart distributions
• Constrained dynamics, stochastic numerical methods and the modeling of complex systems. Abstracts from the workshop held May 26--31, 2024
• Distribution and characteristic functions for correlated complex Wishart matrices
• Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix

This page was built for publication: A characterization of Wishart processes and Wishart distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1743347)