Cuchiero, C., Keller-Ressel, M., Mayerhofer, E., & Teichmann, J. (2016). Affine Processes on Symmetric Cones. Journal of Theoretical Probability, 29(2), 359–422. https://doi.org/10.1007/s10959-014-0580-x
E105-05 - Forschungsbereich Stochastische Finanz- und Versicherungsmathematik
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Journal:
Journal of Theoretical Probability
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ISSN:
0894-9840
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Date (published):
2016
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Number of Pages:
64
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Peer reviewed:
Yes
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Keywords:
General Mathematics; Statistics and Probability; Statistics, Probability and Uncertainty
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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.
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Research Areas:
außerhalb der gesamtuniversitären Forschungsschwerpunkte: 100%
