Eberhard Mayerhofer

Characterizations of Wishart Processes and Wishart Distributions

2016 · HAL (Le Centre pour la Communication Scientifique Directe)

We characterize 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 …