The explicit Laplace transform for the Wishart process [article]

Alessandro Gnoatto, Martino Grasselli
2013 arXiv   pre-print
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. We compare our methodology with the alternative results given by the variation of constants method, the linearization of the Matrix Riccati ODE's and the Runge-Kutta algorithm. The new formula turns out to be fast and accurate.
arXiv:1107.2748v5 fatcat:sptdxs4aa5dxdgimtfasjhvd34