Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1155930 | Stochastic Processes and their Applications | 2011 | 15 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Eberhard Mayerhofer, Oliver Pfaffel, Robert Stelzer,