On strong solutions for positive definite jump diffusions
From MaRDI portal
Publication:554460
DOI10.1016/j.spa.2011.05.006zbMath1225.60096arXiv0910.1784MaRDI QIDQ554460
Robert Stelzer, Eberhard Mayerhofer, Oliver Pfaffel
Publication date: 4 August 2011
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0910.1784
strong solutions; Wishart processes; affine diffusions; jump diffusion processes on positive definite matrices; local martingales on stochastic intervals; matrix subordinators; stochastic differential equations on open sets
60G51: Processes with independent increments; Lévy processes
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J60: Diffusion processes
Related Items
THE WISHART SHORT RATE MODEL, Long-Term Optimal Investment in Matrix Valued Factor Models, Multidimensional Yamada-Watanabe theorem and its applications to particle systems, Optimal Portfolios for Financial Markets with Wishart Volatility, Affine processes on symmetric cones, On moment non-explosions for Wishart-based stochastic volatility models, Polynomial diffusions and applications in finance, Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\), Picard iterations for diffusions on symmetric matrices, Affine processes on positive semidefinite matrices, Long-term yield in an affine HJM framework on \(S_{d}^{+}\), Risk-sensitive asset management in a Wishart-autoregressive factor model with jumps, Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models, Exact and high-order discretization schemes for Wishart processes and their affine extensions, Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications, Stochastic invariance of closed sets with non-Lipschitz coefficients, Polynomial processes in stochastic portfolio theory, Structural properties of the seed bank and the two island diffusion, On non-negative modeling with CARMA processes, Affine Diffusions with Non-Canonical State Space, The Explicit Laplace Transform for the Wishart Process
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Affine processes on positive semidefinite matrices
- Discrete time Wishart term structure models
- Some properties of the Wishart processes and a matrix extension of the Hartman-Watson laws
- On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes
- Multivariate COGARCH(1, 1) processes
- Wishart processes
- Diffusions of perturbed principal component analysis
- Extremal behavior of diffusion models in finance
- Affine processes and applications in finance
- Exact and high-order discretization schemes for Wishart processes and their affine extensions
- Option pricing when correlations are stochastic: an analytical framework
- Skew convolution semigroups and affine Markov processes
- On the uniqueness of solutions of stochastic differential equations. II
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- ARCH models as diffusion approximations
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- SOLVABLE AFFINE TERM STRUCTURE MODELS
- Matrix Subordinators and Related Upsilon Transformations
- A multifactor volatility Heston model
- Affine Diffusion Processes: Theory and Applications
- Matrix Analysis
- Stochastic Integration with Jumps
- Brownian Motions of Ellipsoids
- Financial Modelling with Jump Processes
- Derivative Pricing With Wishart Multivariate Stochastic Volatility
- The Moments of Wishart Processes via Itô Calculus
