This article is cited 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

Language: English

DOI: 10.4213/tvp22

 English version: Theory of Probability and its Applications, 2007, 51:4, 609–625

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