<div class="csl-bib-body">
<div class="csl-entry">Cuchiero, C., Keller-Ressel, M., Mayerhofer, E., & Teichmann, J. (2016). Affine Processes on Symmetric Cones. <i>Journal of Theoretical Probability</i>, <i>29</i>(2), 359–422. https://doi.org/10.1007/s10959-014-0580-x</div>
</div>
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dc.identifier.issn
0894-9840
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dc.identifier.uri
http://hdl.handle.net/20.500.12708/149875
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dc.description.abstract
We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in irreducible symmetric cones in terms of certain Lévy–Khintchine triplets. This is the natural, coordinate-free formulation of the theory of Wishart processes on positive semidefinite matrices, as put forward by Bru (J Theor Probab 4(4):725–751, 1991) and Cuchiero et al. (Ann Appl Probab 21(2):397–463, 2011), in the more general context of symmetric cones, which also allows for simpler, alternative proofs.
en
dc.language.iso
en
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dc.relation.ispartof
Journal of Theoretical Probability
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dc.subject
General Mathematics
en
dc.subject
Statistics and Probability
en
dc.subject
Statistics, Probability and Uncertainty
en
dc.title
Affine Processes on Symmetric Cones
en
dc.type
Artikel
de
dc.type
Article
en
dc.contributor.affiliation
ETH Zurich, Switzerland
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dc.description.startpage
359
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dc.description.endpage
422
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dc.type.category
Original Research Article
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tuw.container.volume
29
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tuw.container.issue
2
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tuw.journal.peerreviewed
true
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tuw.peerreviewed
true
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wb.publication.intCoWork
International Co-publication
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tuw.researchTopic.id
X1
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tuw.researchTopic.name
außerhalb der gesamtuniversitären Forschungsschwerpunkte
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tuw.researchTopic.value
100
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dcterms.isPartOf.title
Journal of Theoretical Probability
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tuw.publication.orgunit
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik
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tuw.publisher.doi
10.1007/s10959-014-0580-x
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dc.date.onlinefirst
2014-10-22
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dc.identifier.eissn
1572-9230
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dc.description.numberOfPages
64
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tuw.author.orcid
0000-0003-0125-7484
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wb.sci
true
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wb.sciencebranch
Mathematik
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wb.sciencebranch.oefos
1010
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wb.facultyfocus
Wirtschaftsmathematik und Stochastik
de
wb.facultyfocus
Mathematical Methods in Economics and Stochastics
en
wb.facultyfocus.faculty
E100
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no Fulltext
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research article
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en
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none
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http://purl.org/coar/resource_type/c_2df8fbb1
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Publications
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E105 - Institut für Stochastik und Wirtschaftsmathematik
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E105 - Institut für Stochastik und Wirtschaftsmathematik
