Wishart Processes and Wishart Distributions: An Affine Processes Point of View

Published 31 Jan 2012 in math.PR, math.ST, and stat.TH | (1201.6634v2)

Abstract: These lecture notes provide an introduction to the theory of Wishart distributions and Wishart processes, particularly what concerns their existence and their realizations as solutions of Wishart SDEs. The material is based on recent developments in the theory of affine processes and related fields.

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Eberhard Mayerhofer

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