A Characterization of Wishart Processes and Wishart Distributions

摘要

A characterization of the existence of non-central Wishart distributions(with shape and non-centrality parameter) as well as the existence of solutionsto Wishart stochastic differential equations (with initial data and driftparameter) in terms of their exact parameter domains is given. These twofamilies are the natural extensions of the non-central chi-square distributionsand the squared Bessel processes to the positive semidefinite matrices.