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dc.contributor.author
Cuchiero, Christa
dc.contributor.author
Keller-Ressel, Martin
dc.contributor.author
Mayerhofer, Eberhard
dc.contributor.author
Teichmann, Josef
dc.date.accessioned
2017-06-09T18:12:56Z
dc.date.available
2017-06-09T18:12:56Z
dc.date.issued
2011-12-06
dc.identifier.uri
http://hdl.handle.net/20.500.11850/43536
dc.description.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 L\'evy-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).
dc.language.iso
en
dc.title
Affine processes on symmetric cones
dc.type
Working Paper
ethz.pages.start
arXiv:1112.1233
ethz.size
61 p.
ethz.notes
Submitted on 6 December 2011.
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.identifier.url
http://arxiv.org/abs/1112.1233
ethz.date.deposited
2017-06-09T18:13:02Z
ethz.source
ECIT
ethz.identifier.importid
imp59364ecc26b6354933
ethz.ecitpid
pub:72131
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T17:01:42Z
ethz.rosetta.lastUpdated
2018-10-01T15:07:06Z
ethz.rosetta.versionExported
true
ethz.COinS
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