Matrix Whittaker processes

Arista, J; Bisi, E; O'Connell, N

Bisi, E (通讯作者),Tech Univ Wien, Inst Stochast & Wirtschaftsmath, E 105-07,Wiedner Hauptstr 8-10, A-1040 Vienna, Austria.

PROBABILITY THEORY AND RELATED FIELDS, 2023; ():

Abstract

We study a discrete-time Markov process on triangular arrays of matrices of size d = 1, driven by inverse Wishart random matrices. The components of t......

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