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This article is cited in 12 scientific papers (total in 12 papers)
The moments of Wishart processes via Itô calculus
P. Graczyk, L. Vostrikova Département de Mathématiques, Université d'Angers
Abstract:
We give formulas for the moments and the expectation of some functionals of Wishart process $X=(X_t)_{t\ge 0}$. These formulas are obtained via Itô calculus for matrix processes. Taking $t=1$ we can derive immediately the same results for centered and noncentered Wishart matrices.
Keywords:
Wishart law, Wishart matrix, Wishart process, moments.
Received: 01.08.2004 Revised: 06.08.2006
Citation:
P. Graczyk, L. Vostrikova, “The moments of Wishart processes via Itô calculus”, Teor. Veroyatnost. i Primenen., 51:4 (2006), 732–751; Theory Probab. Appl., 51:4 (2007), 609–625
Linking options:
https://www.mathnet.ru/eng/tvp22https://doi.org/10.4213/tvp22 https://www.mathnet.ru/eng/tvp/v51/i4/p732
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Abstract page: | 657 | Full-text PDF : | 295 | References: | 71 | First page: | 23 |
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