Affine processes on symmetric cones

DOI10.1007/s10959-014-0580-xzbMath1342.60125arXiv1112.1233OpenAlexW2157883731MaRDI QIDQ300276

Eberhard Mayerhofer, Martin Keller-Ressel, Christa Cuchiero, Josef Teichmann

Publication date: 27 June 2016

Published in: Journal of Theoretical Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.1233

zbMATH Keywords

symmetric conesnon-central Wishart distributionaffine Markov processesWishart processes

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25)

Related Items (15)

Affine realizations with affine state processes for stochastic partial differential equations ⋮ The Gärtner-Ellis Theorem, Homogenization, and Affine Processes ⋮ Geometric ergodicity of affine processes on cones ⋮ Non-linear affine processes with jumps ⋮ Multivariate continuous-time autoregressive moving-average processes on cones ⋮ Infinite dimensional affine processes ⋮ On Wishart and noncentral Wishart distributions on symmetric cones ⋮ Affine processes with compact state space ⋮ Generalized Feller processes and Markovian lifts of stochastic Volterra processes: the affine case ⋮ Long-term yield in an affine HJM framework on \(S_{d}^{+}\) ⋮ Affine processes beyond stochastic continuity ⋮ Existence of limiting distribution for affine processes ⋮ Markov-modulated affine processes ⋮ Ergodicity of affine processes on the cone of symmetric positive semidefinite matrices ⋮ Exotic one-parameter semigroups of endomorphisms of a symmetric cone

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