2006/11/28 by Nizar Demni, Demni, Nizar
Economics, Econometrics and Finance · Mathematics · #FOS: Mathematics #Probability (math.PR) #Random Matrices and Applications #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR
paper · pdf · doi:10.48550/arxiv.math/0611863
arxiv created 2006/11/28 · openalex publication_date 2006/11/28 · arxiv updated 2009/12/01 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In 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.