On strong solutions for positive definite jump diffusions
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- 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.
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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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