کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156762 | 958865 | 2013 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
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چکیده انگلیسی
In this paper, we derive transform formulae for linear functionals of affine processes and their bridges whose state space is the set of positive semidefinite d×dd×d matrices. Particularly, we investigate the relationship between such transforms and certain integral equations. Our findings extend and unify the well known results of Cuchiero et al. (2011) [5] and Pitman and Yor (1982) [19], who analysed affine processes on positive semidefinite matrices and transforms of linear functionals of squared Bessel processes, respectively. We are, then, able to derive analytic expressions for Laplace transforms of some functionals of Wishart bridges.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 123, Issue 6, June 2013, Pages 2419–2445
Journal: Stochastic Processes and their Applications - Volume 123, Issue 6, June 2013, Pages 2419–2445
نویسندگان
Chulmin Kang, Wanmo Kang,