On strong solutions for positive definite jump diffusions
نویسندگان
چکیده
منابع مشابه
On Strong Solutions for Positive Definite Jump Diffusions
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 di...
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 2011
ISSN: 0304-4149
DOI: 10.1016/j.spa.2011.05.006