TY - JOUR
T1 - A characterization of Wishart processes and Wishart distributions
AU - Graczyk, Piotr
AU - Małecki, Jacek
AU - Mayerhofer, Eberhard
N1 - Publisher Copyright:
© 2017 Elsevier B.V.
PY - 2018/4
Y1 - 2018/4
N2 - A characterization of the existence of non-central Wishart distributions (with shape and non-centrality parameter) as well as the existence of solutions to Wishart stochastic differential equations (with initial data and drift parameter) in terms of their exact parameter domains is given. These two families are the natural extensions of the non-central chi-square distributions and the squared Bessel processes to the positive semidefinite matrices.
AB - A characterization of the existence of non-central Wishart distributions (with shape and non-centrality parameter) as well as the existence of solutions to Wishart stochastic differential equations (with initial data and drift parameter) in terms of their exact parameter domains is given. These two families are the natural extensions of the non-central chi-square distributions and the squared Bessel processes to the positive semidefinite matrices.
KW - Affine processes
KW - Gindikin set
KW - Non-central Wishart distribution
KW - Symmetric polynomials
KW - Wishart distributions
KW - Wishart processes
UR - http://www.scopus.com/inward/record.url?scp=85027712310&partnerID=8YFLogxK
U2 - 10.1016/j.spa.2017.07.010
DO - 10.1016/j.spa.2017.07.010
M3 - Article
AN - SCOPUS:85027712310
SN - 0304-4149
VL - 128
SP - 1386
EP - 1404
JO - Stochastic Processes and their Applications
JF - Stochastic Processes and their Applications
IS - 4
ER -