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Showing 2011 · math.PRShow all

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math.PR2011

Affine processes on positive semidefinite d x d matrices have jumps of finite variation in dimension d > 1

Eberhard Mayerhofer

The theory of affine processes on the space of positive semidefinite d x d matrices has been established in a joint work with Cuchiero, Filipović and Teichmann (2011). We confirm t…