A mean-reverting SDE on correlation matrices

DOI10.1016/j.spa.2012.12.008zbMath1271.65014arXiv1108.5264OpenAlexW2018822152MaRDI QIDQ1939349

Abdelkoddousse Ahdida, Aurélien Alfonsi

Publication date: 4 March 2013

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

Full work available at URL: https://arxiv.org/abs/1108.5264

zbMATH Keywords

stochastic differential equationweak convergencenumerical examplesdiscrete schemescorrelation matricesWishart processesergodic processJacobi processesmulti-allele Wright-Fisher modelmulti-asset modelWright-Fisher diffusions

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic models in economics (91B70) Stability and convergence of numerical methods for ordinary differential equations (65L20) Ordinary differential equations and systems with randomness (34F05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

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