On strong solutions for positive definite jump diffusions

DOI10.1016/j.spa.2011.05.006zbMath1225.60096arXiv0910.1784MaRDI QIDQ554460

Robert Stelzer, Eberhard Mayerhofer, Oliver Pfaffel

Publication date: 4 August 2011

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0910.1784

zbMATH Keywords

strong solutions; Wishart processes; affine diffusions; jump diffusion processes on positive definite matrices; local martingales on stochastic intervals; matrix subordinators; stochastic differential equations on open sets

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

60J60: Diffusion processes

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