Affine processes on positive semidefinite matrices

Christa Cuchiero, Damir Filipovic, Eberhard Mayerhofer, Josef Teichmann

Publikation: Wissenschaftliche Fachzeitschrift › Originalbeitrag in Fachzeitschrift › Begutachtung

Originalsprache	Englisch
Seiten (von - bis)	397 - 463
Fachzeitschrift	Annals of Applied Probability
Jahrgang	21
Ausgabenummer	2
DOIs	https://doi.org/10.1214/10-AAP710
Publikationsstatus	Veröffentlicht - 2011

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title = "Affine processes on positive semidefinite matrices",

author = "Christa Cuchiero and Damir Filipovic and Eberhard Mayerhofer and Josef Teichmann",

year = "2011",

doi = "10.1214/10-AAP710",

language = "English",

volume = "21",

pages = "397 -- 463",

journal = "Annals of Applied Probability",

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publisher = "Institute of Mathematical Statistics",

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TY - JOUR

T1 - Affine processes on positive semidefinite matrices

AU - Cuchiero, Christa

AU - Filipovic, Damir

AU - Mayerhofer, Eberhard

AU - Teichmann, Josef

PY - 2011

Y1 - 2011

UR - https://arxiv.org/abs/0910.0137

U2 - 10.1214/10-AAP710

DO - 10.1214/10-AAP710

M3 - Journal article

SN - 1050-5164

VL - 21

SP - 397

EP - 463

JO - Annals of Applied Probability

JF - Annals of Applied Probability

IS - 2

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