2021/12/23 by Jonas Arista, Arista, Jonas, Elia Bisi +3 · 1 citation
Computer Science · Mathematics · #22E30 #60B20 (Primary) #60G10 #60K35 #62H10 (Secondary) #82B23 #Advanced Topics in Algebra #FOS: Mathematics #FOS: Physical sciences #Mathematical Physics (math-ph) #Matrix Theory and Algorithms #Probability (math.PR) #Random Matrices and Applications
paper · pdf · doi:10.48550/arxiv.2112.12558
openalex publication_date 2021/12/23 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We establish analogues of the geometric Pitman 2M-X theorem of Matsumoto and Yor and of the classical Dufresne identity, for a multiplicative random walk on positive definite matrices with Beta type II distributed increments. The Dufresne type identity provides another example of a stochastic matrix recursion, as considered by Chamayou and Letac (J. Theoret. Probab. 12, 1999), that admits an explicit solution.