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

DOI10.1016/J.SPA.2012.06.005MaRDI QIDQ449230zbMATH OpenOpenAlexFDO

Authors Eberhard Mayerhofer

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

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)

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.

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Cites work

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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

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