Density factorizations for brownian motion, meander and the three-dimensional bessel process, and applications
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...These descriptions are read from [435, 208]....
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Cites background from "Density factorizations for brownian..."
...This is regarded as a multivariate version of the Imhof relation in the probability theory [25], since it implies the absolute continuity in distribution of the temporally homogeneous process Y(t) and the inhomogeneous process X(t) in [0, T ], but from the viewpoint of random matrix theory the important consequence of this equality is the fact that the process X(t) exhibits a transition in distribution from the eigenvalue statistics of GUE to that of GOE and thus the GOE distribution is realized at the final time t = T ....
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...When N = 1 and (ν, κ) = (1/2, 1), this proposition gives the Imhof relation between the Brownian meander and the three-dimensional Bessel process [25]....
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