On strong solutions for positive definite jump diffusions
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
- Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
- Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
- Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
- Mayerhofer, Eberhard, 2012. "Affine processes on positive semidefinite d×d matrices have jumps of finite variation in dimension d>1," Stochastic Processes and their Applications, Elsevier, vol. 122(10), pages 3445-3459.
More about this item
KeywordsAffine diffusions Jump diffusion processes on positive definite matrices Local martingales on stochastic intervals Matrix subordinators Stochastic differential equations on open sets Strong solutions Wishart processes;
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