On the definition, stationary distribution and second order structure of positive semidefinite Ornstein-Uhlenbeck type processes

DOI10.3150/08-BEJ175zbMath1221.60074arXiv0909.0851MaRDI QIDQ605021

Christian Pigorsch, Robert Stelzer

Publication date: 12 November 2010

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0909.0851

zbMATH Keywords

stationary distributionquadratic variationcompletely positive matrixmatrix subordinatornormal mixtureoperator self-decomposable distributionspositive semidefinite Ornstein-Uhlenbeck type processsecond order structure

Mathematics Subject Classification ID

Stochastic processes (60G99)

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