Affine processes on symmetric cones

Christa Cuchiero; Martin Keller-Ressel; Eberhard Mayerhofer; Josef Teichmann

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arXiv · 1112.1233

Affine processes on symmetric cones

Christa Cuchiero·Martin Keller-Ressel·Eberhard Mayerhofer·Josef Teichmann

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Abstract

We consider affine Markov processes taking values in convex cones. In particular, we characterize all affine processes taking values in an irreducible symmetric cone in terms of certain Lévy-Khintchine triplets. This is the complete classification of affine processes on these conic state spaces, thus extending the theory of Wishart processes on positive semidefinite matrices, as put forward by Bru (1991).

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Christa Cuchiero, Martin Keller-Ressel, Eberhard Mayerhofer, Josef Teichmann. 2011-12-06. Affine processes on symmetric cones. https://arxiv.org/abs/1112.1233

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