Wishart Processes and Affine Diffusions on Positive Semidefinite Matrices

  • Aurélien Alfonsi
Part of the Bocconi & Springer Series book series (BS, volume 6)


Wishart processes have been first introduced by Bru [24] for some applications in biology on the perturbation of experimental data. Their definition and main mathematical properties are described in her paper [25]. They are also named because, as we will see, their marginal laws follow Wishart distributions. These distributions have been introduced by Wishart [124] in 1928. They arise naturally in statistics when estimating the covariance matrix of a Gaussian vector.


Order Scheme Infinitesimal Generator Cholesky Decomposition Wishart Distribution Heston Model 
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© Springer International Publishing Switzerland 2015

Authors and Affiliations

  • Aurélien Alfonsi
    • 1
  1. 1.CERMICSEcole Nationale des Ponts et ChausséesChamps-sur-MarneFrance

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