کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155930 | 958785 | 2011 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On strong solutions for positive definite jump diffusions
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله

چکیده انگلیسی
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 ααth positive semidefinite power of the process itself with 0.5<α<10.5<α<1 and obtain existence conditions for them. In the case of a diffusion coefficient which is linear in the process we likewise get a positive definite analogue of the univariate GARCH diffusions.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 121, Issue 9, September 2011, Pages 2072–2086
Journal: Stochastic Processes and their Applications - Volume 121, Issue 9, September 2011, Pages 2072–2086
نویسندگان
Eberhard Mayerhofer, Oliver Pfaffel, Robert Stelzer,