Matsumoto–Yor and Dufresne type theorems for a random walk on positive definite matrices-Reference-Cited by-同舟云学术

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Matsumoto–Yor and Dufresne type theorems for a random walk on positive definite matrices

Published:2024-05-01 Issue:2 Volume:60 Page:
ISSN:0246-0203
Container-title:Annales de l'Institut Henri Poincaré, Probabilités et Statistiques
language:
Short-container-title:Ann. Inst. H. Poincaré Probab. Statist.

Author:

Arista Jonas¹,Bisi Elia²,O’Connell Neil³

Affiliation:

1. Universität Bielefeld, Fakultät für Mathematik, Universitätsstraße 25, 33615 Bielefeld, Germany

2. Technische Universität Wien, Institut für Stochastik und Wirtschaftsmathematik, E 105-07, Wiedner Hauptstraße 8-10, 1040 Wien, Austria

3. School of Mathematics and Statistics, University College Dublin, Dublin 4, Ireland

Publisher

Institute of Mathematical Statistics

Reference40 articles.

1. B. Rider and B. Valkó. Matrix Dufresne identities. Int. Math. Res. Not. 2016 (1) (2016) 174–218.

2. F. Solomon. Random walks in a random environment. Ann. Probab. 3 (1) (1975) 1–31.

3. C. M. Goldie. Implicit renewal theory and tails of solutions of random equations. Ann. Appl. Probab. 1 (1) (1991) 126–166.

4. H. Kesten. Random difference equations and renewal theory for products of random matrices. Acta Math. 131 (1973) 207–248.

5. J. W. Pitman. One-dimensional Brownian motion and the three-dimensional Bessel process. Adv. Appl. Probab. 7 (3) (1975) 511–526.

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