Talks and Poster Presentations (without Proceedings-Entry):
E. Bisi:
"Matsumoto-Yor and Dufresne type theorems for a random walk on positive definite matrices";
Talk: UniBA Mathematical Physics Seminar,
University of Bari (invited);
2022-04-06.
English abstract:
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.
Created from the Publication Database of the Vienna University of Technology.