Affine processes on positive semidefinite matrices

Publication: Scientific journal › Journal article › peer-review

Original language	English
Pages (from-to)	397 - 463
Journal	Annals of Applied Probability
Volume	21
Issue number	2
DOIs	https://doi.org/10.1214/10-AAP710
Publication status	Published - 2011

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@article{659f26d093264b739b715c072e8217c0,

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",

issn = "1050-5164",

publisher = "Institute of Mathematical Statistics",

number = "2",

}

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

ER -