On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes

Abstract

Several important properties of positive semidefinite processes of Ornstein--Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX+X{A}^{\mathrm{T}}$ with $A\in M_d(\mathbb{R})$ are the only ones that can be used in the definition provided one demands a natural non-degeneracy condition. Furthermore, we analyse the absolute continuity properties of the stationary distribution (especially when the driving matrix subordinator is the quadratic variation of a $d$-dimensional Lévy process) and study the question of how to choose the driving matrix subordinator in order to obtain a given stationary distribution. Finally, we present results on the first and second order moment structure of matrix subordinators, which is closely related to the moment structure of positive semidefinite Ornstein--Uhlenbeck type processes. The latter results are important for method of moments based estimation.

Published in at http://dx.doi.org/10.3150/08-BEJ175 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm)

References in corpus (1)

• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes

Cited by in corpus (9)

• Multivariate supOU processes
• On the definition, stationary distribution and second order structure of positive semidefinite Ornstein--Uhlenbeck type processes
• Multivariate COGARCH(1,1) processes
• The Wishart short rate model
• Multivariate continuous-time autoregressive moving-average processes on cones
• A Class of Infinitely Divisible Multivariate and Matrix Gamma Distributions and Cone-valued Generalised Gamma Convolutions
• Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes
• Covariation representations for Hermitian Lévy process ensembles of free infinitely divisible distributions
• On strong solutions for positive definite jump-diffusions