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

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

2012-01-31

arxiv.org/abs/1201.6634v1

Mathematics

Probability

These notes are part II of the CIMPA lecture notes on Wishart processes, to be published jointly with Piotr Graczyk (part I) i

Scientific paper

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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