On strong solutions for positive definite jump diffusions
By Eberhard Mayerhofer, Oliver Pfaffel, Robert Stelzer. 2009
73 citations recorded by the source corpus.
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes, which have recently been extensively employed in financial mathematics. Moreover, we consider stochastic differential equations where the diffusion coefficient is given by the [alpha]th positive semidefinite power of the process itself with 0.5
Subfields: Finance, Mathematical Physics
View Paper: https://www.semanticscholar.org/paper/f60ba73a8d2a64b119e953fd79a0555ede397c68
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In Finance
In Mathematical Physics
Citations in the corpus
- Riding on the smiles (2011, background): “( 2010 ) for theoretical and numerical aspects of the Wishart and related processes.”
- Affine Processes on Positive Semidefinite Matrices (2009, unknown): “6 Bru’s results concerning strong solutions have recently been extended to the case of matrix valued jump-diffusions; see [40].”