Moments of MGOU processes and positive semidefinite matrix processes

DOI10.1016/J.JMVA.2012.04.009MaRDI QIDQ444969zbMATH OpenOpenAlexFDO

Authors Anita Behme

Publication date 24 August 2012

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2012.04.009

zbMATH Keywords

moment conditionsmultivariate financial modelingmultivariate generalized Ornstein-Uhlenbeck (MGOU) processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Financial applications of other theories (91G80)

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Cites work

• scientific article; zbMATH DE number 1639858 (Why is no real title available?)
• scientific article; zbMATH DE number 19579 (Why is no real title available?)
• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Distributional properties of solutions of \(\text dV_{T} = V_{T-} \text dU_{T} + \text dL_T\) with Lévy noise
• Matrix Subordinators and Related Upsilon Transformations
• Matrix mathematics. Theory, facts, and formulas
• Multivariate generalized Ornstein-Uhlenbeck processes
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Positive operators and an inertia theorem
• Positive-definite matrix processes of finite variation
• Risk theory in a stochastic economic environment
• The Wishart autoregressive process of multivariate stochastic volatility
• The approximate Euler method for Lévy driven stochastic differential equations

Cited in

(6)

• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Multivariate generalized Ornstein-Uhlenbeck processes
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• scientific article; zbMATH DE number 6703664 (Why is no real title available?)
• Positive-definite matrix processes of finite variation
• The joint moment generating function of quadratic forms in multivariate autoregressive series

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