The Moments of Wishart Processes via Itô Calculus
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Publication:5439993
DOI10.1137/S0040585X97982682zbMath1131.60008MaRDI QIDQ5439993
Piotr Graczyk, Lioudmila Vostrikova
Publication date: 30 January 2008
Published in: Theory of Probability & Its Applications (Search for Journal in Brave)
Characteristic functions; other transforms (60E10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Characterization and structure theory of statistical distributions (62E10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Related Items (5)
A perturbation analysis of stochastic matrix Riccati diffusions ⋮ Geometric ergodicity of affine processes on cones ⋮ Pricing guaranteed annuity options in a linear-rational Wishart mortality model ⋮ Multidimensional Yamada-Watanabe theorem and its applications to particle systems ⋮ On strong solutions for positive definite jump diffusions
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