Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
Publication:2444649
DOI10.1016/j.spa.2013.02.011zbMath1338.60191arXiv1309.0557MaRDI QIDQ2444649
Wanmo Kang, Chulmin Kang, Jong Mun Lee
Publication date: 10 April 2014
Published in: Stochastic Processes and their Applications, Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1309.0557
stochastic volatility; linear functionals; positive semidefinite matrices; exact simulation; Monte-Carlo method; affine Markov processes; Wishart processes; transform formulae
91G60: Numerical methods (including Monte Carlo methods)
60J25: Continuous-time Markov processes on general state spaces
65C05: Monte Carlo methods
60H30: Applications of stochastic analysis (to PDEs, etc.)
60J55: Local time and additive functionals
Related Items
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