Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
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Publication:449230
DOI10.1016/j.spa.2012.06.005zbMath1256.60023arXiv1104.0784OpenAlexW2963623671MaRDI QIDQ449230
Publication date: 12 September 2012
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.0784
Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70)
Related Items (8)
Affine processes on symmetric cones ⋮ The Explicit Laplace Transform for the Wishart Process ⋮ Geometric ergodicity of affine processes on cones ⋮ Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Markovian lifts of positive semidefinite affine Volterra-type processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Exponential moments of affine processes
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- Wishart processes
- Affine processes and applications in finance
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Affine Diffusion Processes: Theory and Applications
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