Wishart processes

We propose some matrix generalizations of square Bessel processes and we indicate their first properties: hitting time of 0 of the smallest eigenvalue, additivity property, associated Martingales, distributions, which mainly extend the real-valued classical results. We explain why these processes are indecomposable and therefore differ from the real-valued ones. We conclude with some formulae concerning matrix quadratic functionals analogous to the Cameron Martin formula.