Vorträge und Posterpräsentationen (ohne Tagungsband-Eintrag):
E. Bisi:
"Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices";
Vortrag: UniBA Mathematical Physics Seminar,
University of Bari (eingeladen);
06.04.2022.
Kurzfassung englisch:
We establish analogues of the geometric Pitman 2M-X theorem of Matsumoto and Yor and of the classical Dufresne identity, for a multiplicative random walk on positive definite matrices with Beta type II distributed increments. The Dufresne type identity provides also an example of a stochastic matrix recursion that admits an explicit solution.
Joint work with J. Arista and N. O'Connell.
Erstellt aus der Publikationsdatenbank der Technischen Universität Wien.