Affine processes on positive semidefinite d x d matrices have jumps of finite variation in dimension d > 1

STOCHASTIC PROCESSES AND THEIR APPLICATIONS

卷:122

Article

Mayerhofer, Eberhard

关键词: Affine processes;    Positive semidefinite processes;    Jumps;    Wishart processes;   

DOI  :  10.1016/j.spa.2012.06.005

来源: Elsevier

【 摘 要 】

The theory of affine processes on the space of positive semidefinite d x d matrices has been established in a joint work with Cuchiero et al. (2011) [4]. We confirm the conjecture stated therein that in dimension d > 1 this process class does not exhibit jumps of infinite total variation. This constitutes a geometric phenomenon which is in contrast to the situation on the positive real line (Kawazu and Watanabe, 1971) [8]. As an application we prove that the exponentially affine property of the Laplace transform carries over to the Fourier-Laplace transform if the diffusion coefficient is zero or invertible. (C) 2012 Elsevier B.V. All rights reserved.

【 授权许可】

Free