Integrated Wishart bridge processes and generalised Hartman-Watson law

Integral representations for the Hartman--Watson density

This paper concerns the density of the Hartman--Watson law. Yor (1980) obtained an integral formula that gives a closed-form expression of the Hartman--Watson density. In this paper, based on Yor's formula, we provide alternative integral representations for the density. As an immediate application, we recover in part a Dufresne's result (2001) that exhibits remarkably simple representations for the laws of exponential additive functionals of Brownian motion.

Laguerre Process and Generalised Hartman-Watson Law

In this paper, we study complex Wishart processes or the so-called Laguerre processes. We give some interest to the behaviour of the eigenvalues process, derive some useful SDE and compute both infinitesimal generator and semi-group. We also give absolute-continuity relations between different indices.Then, we compute the density function of the generalised Hartman-Watson law as well as the law of the first hitting time of 0 when the size m=2.

The Hartman-Watson Distribution revisited: Asymptotics for Pricing Asian Options

Barrieu, Rouault, and Yor [J. Appl. Probab. 41 (2004)] determined asymptotics for the logarithm of the distribution function of the Hartman-Watson distribution. We determine the asymptotics of the density. This refinement can be applied to the pricing of Asian options in the Black-Scholes model.

Hartman-Watson distribution and hyperbolic-like Heat kernels

We relate Gruet formula for the heat kernel on real hyperbolic spaces to the commonly used one derived from Millson induction. The bridge between both formulas is settled by Yor result on the joint distribution of a Brownian motion and of its exponential functional at fixed time. This result allows further to relate Gruet formula with real parameter to the heat kernel of the hyperbolic Jacobi operator and to derive a new integral representation for the heat kernel of the Maass Laplacian. When applied to harmonic AN groups, Yor result yields also new a integral representation of their correspon…

The Laguerre process and generalized Hartman--Watson law

In this paper, we study complex Wishart processes or the so-called Laguerre processes $(X_t)_{t\geq0}$. We are interested in the behaviour of the eigenvalue process; we derive some useful stochastic differential equations and compute both the infinitesimal generator and the semi-group. We also give absolute-continuity relations between different indices. Finally, we compute the density function of the so-called generalized Hartman--Watson law as well as the law of $T_0:=\inf\{t,\det(X_t)=0\}$ when the size of the matrix is 2.

Hartman-Watson 分布的渐近展开

Asymptotic expansion for the Hartman-Watson distribution

本文利用鞍点方法推导了 Hartman-Watson 分布密度积分在 $t\to 0$ 时的前两项渐近展开及一致误差界，并据此获得了几何布朗运动时间平均密度的主导渐近性，验证了大偏差理论的结果。