Geodesic
The moments of Wishart processes via Itô calculus
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 4, pp. 732-751 Cet article a éte moissonné depuis la source Math-Net.Ru

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We give formulas for the moments and the expectation of some functionals of Wishart process $X=(X_t)_{t\ge 0}$. These formulas are obtained via Itô calculus for matrix processes. Taking $t=1$ we can derive immediately the same results for centered and noncentered Wishart matrices.
Keywords: Wishart law, Wishart matrix, Wishart process
Mots-clés : moments. 
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P. Graczyk; L. Vostrikova. The moments of Wishart processes via Itô calculus. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 4, pp. 732-751. http://geodesic.mathdoc.fr/item/TVP_2006_51_4_a4/

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