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Teoriya Veroyatnostei i ee Primeneniya, 2006, Volume 51, Issue 4, Pages 732–751
DOI: https://doi.org/10.4213/tvp22 (Mi tvp22) 		 
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
Full-text PDF (1474 kB) Citations (12)
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DOI: https://doi.org/10.4213/tvp22
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
English version:
Theory of Probability and its Applications, 2007, Volume 51, Issue 4, Pages 609–625
DOI: https://doi.org/10.1137/S0040585X97982682
Bibliographic databases:
Language: English
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
Citation in format AMSBIB
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    • This publication is cited in the following 12 articles:
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    		Теория вероятностей и ее применения Theory of Probability and its Applications
     
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