A mean-reverting SDE on correlation matrices

DOI10.1016/j.spa.2012.12.008zbMath1271.65014arXiv1108.5264MaRDI QIDQ1939349

Abdelkoddousse Ahdida, Aurélien Alfonsi

Publication date: 4 March 2013

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

Full work available at URL: https://arxiv.org/abs/1108.5264

zbMATH Keywords

stochastic differential equation; weak convergence; numerical examples; discrete schemes; correlation matrices; Wishart processes; ergodic process; Jacobi processes; multi-allele Wright-Fisher model; multi-asset model; Wright-Fisher diffusions

Mathematics Subject Classification ID

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

91B70: Stochastic models in economics

65L20: Stability and convergence of numerical methods for ordinary differential equations

34F05: Ordinary differential equations and systems with randomness

60H35: Computational methods for stochastic equations (aspects of stochastic analysis)

65C30: Numerical solutions to stochastic differential and integral equations

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