Stochastic differential equations for eigenvalues and eigenvectors of a \(G\)-Wishart process with drift
Publication:2307640
DOI10.1007/s11253-019-01664-1zbMath1435.62219OpenAlexW2980732168WikidataQ126996811 ScholiaQ126996811MaRDI QIDQ2307640
S. Stihi, Hacène Boutabia, Selma Meradji
Publication date: 25 March 2020
Published in: Ukrainian Mathematical Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11253-019-01664-1
Factor analysis and principal components; correspondence analysis (62H25) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Diffusion processes (60J60) Stochastic partial differential equations (aspects of stochastic analysis) (60H15)
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Cites Work
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- Martingale representation theorem for the \(G\)-expectation
- On strong solutions for positive definite jump diffusions
- Function spaces and capacity related to a sublinear expectation: application to \(G\)-Brownian motion paths
- Complex Brownian motion representation of the Dyson model
- Diffusions of perturbed principal component analysis
- On the comparison theorem for multi-dimensional \(G\)-SDEs
- The Laguerre process and generalized Hartman-Watson law
- A stochastic maximum principle for processes driven by G‐Brownian motion and applications to finance
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