Explosion time for some Laplace transforms of the Wishart process

DOI10.1080/15326349.2019.1578237MaRDI QIDQ5742577zbMATH OpenOpenAlexFDO

Authors Griselda Deelstra, Martino Grasselli, Christopher Van Weverberg

Publication date 15 May 2019

Published in Stochastic Models (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/286918/3/Explosion_time_DGVW.pdf

zbMATH Keywords

explosion timeLaplace transformWishart process

Mathematics Subject Classification ID

Random matrices (probabilistic aspects) (60B20) Diffusion processes (60J60)

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Cited in

(3)

• The Laplace transform of annuities certain with exponential time distribution
• The explicit Laplace transform for the Wishart process
• The Laplace transform of the integrated Volterra Wishart process

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