Moments of MGOU processes and positive semidefinite matrix processes

DOI10.1016/J.JMVA.2012.04.009zbMATH Open1247.60065OpenAlexW2007782269MaRDI QIDQ444969FDOQ444969

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

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• scientific article; zbMATH DE number 1916727

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)

Cites Work

• A continuous-time GARCH process driven by a Lévy process: stationarity and second-order behaviour
• Matrix mathematics. Theory, facts, and formulas
• The Wishart autoregressive process of multivariate stochastic volatility
• The approximate Euler method for Lévy driven stochastic differential equations
• Positive operators and an inertia theorem
• Title not available (Why is that?)
• Multivariate generalized Ornstein-Uhlenbeck processes
• Positive-definite matrix processes of finite variation
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Risk theory in a stochastic economic environment
• Title not available (Why is that?)
• 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

Cited In (6)

• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Multivariate generalized Ornstein-Uhlenbeck processes
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
• Positive-definite matrix processes of finite variation
• Title not available (Why is that?)
• The joint moment generating function of quadratic forms in multivariate autoregressive series

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