Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
type: Item
instance of: scholarly article
title: Affine processes on positive semidefinite \(d \times d\) matrices have jumps of finite variation in dimension \(d > 1\)
zbMATH Open document ID: 1256.60023
author: Eberhard Mayerhofer
published in: Stochastic Processes and their Applications
publication date: 2012-09-12T00:00:00Z
full work available at URL: https://arxiv.org/abs/1104.0784
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 91B70
zbMATH DE Number: 6081498
zbMATH Keywords: affine processes
zbMATH Keywords: positive semidefinite processes
zbMATH Keywords: jumps
zbMATH Keywords: Wishart processes
MaRDI profile type: Publication
OpenAlex ID: W2963623671
arXiv ID: 1104.0784
cites work: Exact and high-order discretization schemes for Wishart processes and their affine extensions
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cites work: Q4937701
DOI: 10.1016/J.SPA.2012.06.005
reviewed by: Pavel Gapeev
description: scientific article; zbMATH DE number 6081498