A characterization of Wishart processes and Wishart distributions

DOI10.1016/j.spa.2017.07.010zbMath1391.60138arXiv1607.00206OpenAlexW2463300055MaRDI QIDQ1743347

Eberhard Mayerhofer, Piotr Graczyk, Jacek Małecki

Publication date: 13 April 2018

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

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

zbMATH Keywords

symmetric polynomialsaffine processesnon-central Wishart distributionWishart processesWishart distributionsGindikin set

Mathematics Subject Classification ID

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

Related Items (6)

Universality classes for general random matrix flows ⋮ The Laplace transform \((\det s)^{-p} \exp \operatorname{tr}(s^{-1}w)\) and the existence of non-central Wishart distributions ⋮ Polynomial traces and elementary symmetric functions in the latent roots of a non-central Wishart matrix ⋮ On Poincaré and Logarithmic Sobolev Inequalities for a Class of Singular Gibbs Measures ⋮ On Wishart and noncentral Wishart distributions on symmetric cones ⋮ On squared Bessel particle systems

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