Affine processes on positive semidefinite d d matrices have jumps of finite variation in dimension d > 1

DOI10.1016/J.SPA.2012.06.005zbMATH Open1256.60023arXiv1104.0784OpenAlexW2963623671MaRDI QIDQ449230FDOQ449230

Authors: Eberhard Mayerhofer 

Publication date: 12 September 2012

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

Abstract: The theory of affine processes on the space of positive semidefinite d x d matrices has been established in a joint work with Cuchiero, Filipovi'c and Teichmann (2011). We confirm the conjecture stated therein that in dimension d greater than 1 this process class does not exhibit jumps of infinite total variation. This constitutes a geometric phenomenon which is in contrast to the situation on the positive real line (Kawazu and Watanabe, 1974). As an application we prove that the exponentially affine property of the Laplace transform carries over to the Fourier-Laplace transform if the diffusion coefficient is zero or invertible.

Full work available at URL: https://arxiv.org/abs/1104.0784

Recommendations

• Affine processes on positive semidefinite matrices
• Affine pure-jump processes on positive Hilbert-Schmidt operators
• Exponential moments of affine processes
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices

zbMATH Keywords

jumpsaffine processesWishart processespositive semidefinite processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Stochastic models in economics (91B70)

Cites Work

• Title not available (Why is that?)
• Affine processes and applications in finance
• Wishart processes
• Affine diffusion processes: theory and applications
• Affine processes on positive semidefinite matrices
• Positive-definite matrix processes of finite variation
• A characterization of the martingale property of exponentially affine processes
• On strong solutions for positive definite jump diffusions
• Affine processes are regular
• Exact and high-order discretization schemes for Wishart processes and their affine extensions
• Title not available (Why is that?)
• On convexity of solutions of ordinary differential equations

Cited In (12)

• The explicit Laplace transform for the Wishart process
• Affine processes on symmetric cones
• Affine processes on positive semidefinite matrices
• Long-term yield in an affine HJM framework on \(S_{d}^{+}\)
• Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices
• Affine pure-jump processes on positive Hilbert-Schmidt operators
• Markovian lifts of positive semidefinite affine Volterra-type processes
• Stationary covariance regime for affine stochastic covariance models in Hilbert spaces
• Positive-definite matrix processes of finite variation
• Holomorphic transforms with application to affine processes
• Exponential moments of affine processes
• Geometric ergodicity of affine processes on cones

This page was built for publication: Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q449230)