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2018 A matrix Bougerol identity and the Hua-Pickrell measures
Theodoros Assiotis
Electron. Commun. Probab. 23: 1-11 (2018). DOI: 10.1214/18-ECP107

Abstract

We prove a Hermitian matrix version of Bougerol’s identity. Moreover, we construct the Hua-Pickrell measures on Hermitian matrices, as stochastic integrals with respect to a drifting Hermitian Brownian motion and with an integrand involving a conjugation by an independent, matrix analogue of the exponential of a complex Brownian motion with drift.

Citation

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Theodoros Assiotis. "A matrix Bougerol identity and the Hua-Pickrell measures." Electron. Commun. Probab. 23 1 - 11, 2018. https://doi.org/10.1214/18-ECP107

Information

Received: 20 October 2017; Accepted: 5 January 2018; Published: 2018
First available in Project Euclid: 21 February 2018

zbMATH: 1398.60010
MathSciNet: MR3771765
Digital Object Identifier: 10.1214/18-ECP107

Subjects:
Primary: 60G

JOURNAL ARTICLE
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