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The Explicit Laplace Transform for the Wishart Process
Published online by Cambridge University Press: 30 January 2018
We derive the explicit formula for the joint Laplace transform of the Wishart process and its time integral, which extends the original approach of Bru (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.
- Research Article
- © Applied Probability Trust
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