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arXiv · 2011.07422

Integrated Wishart bridge processes and generalised Hartman-Watson law

Jason Leung
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Abstract

This article is concerned with the joint law of an integrated Wishart bridge process and the trace of an integrated inverse Wishart bridge process over the interval $ \left[0,t\right] $. Its Laplace transform is obtained by studying the Wishart bridge processes and the absolute continuity property of Wishart laws.

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Jason Leung. 2020-11-15. Integrated Wishart bridge processes and generalised Hartman-Watson law. https://arxiv.org/abs/2011.07422

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