A mean-reverting SDE on correlation matrices (Q1939349)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A mean-reverting SDE on correlation matrices |
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A mean-reverting SDE on correlation matrices (English)
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4 March 2013
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A mean-reverting stochastic differential equation (SDE) on correlation matrices is defined, which is the multi-dimensional extension of a slight different version of the Wright-Fisher diffusion modeling the gene frequencies. The conditions of the weak and strong uniqueness, the ergodicity and the connection with the Wishart processes are systematically established. A second-order weak convergence discretization scheme is presented. Numerical examples show that this ergodic process can correct the underestimate drawback of the correlation analysis of the constant matrix correlation of multi assets.
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Wright-Fisher diffusions
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multi-allele Wright-Fisher model
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Jacobi processes
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Wishart processes
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discrete schemes
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multi-asset model
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stochastic differential equation
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correlation matrices
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weak convergence
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numerical examples
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ergodic process
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