The Explicit Laplace Transform for the Wishart Process
The Explicit Laplace Transform for the Wishart Process
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 (1991). We compare our methodology with the alternative results given by the variation-of-constants method, the linearization of the matrix Riccati ordinary differential equation, and the …