Geodesic
The moments of Wishart processes via It\^o calculus
Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 4, pp. 732-751

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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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     author = {P. Graczyk and L. Vostrikova},
     title = {The moments of {Wishart} processes via {It\^o} calculus},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
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     number = {4},
     year = {2006},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/TVP_2006_51_4_a4/}
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P. Graczyk; L. Vostrikova. The moments of Wishart processes via It\^o calculus. Teoriâ veroâtnostej i ee primeneniâ, Tome 51 (2006) no. 4, pp. 732-751. http://geodesic.mathdoc.fr/item/TVP_2006_51_4_a4/