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
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
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
نویسندگان
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