Wishart Processes and Wishart Distributions: An Affine Processes Point of View
arXiv:1201.6634
Abstract
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.
This is the final version of Part II of the CIMPA lecture notes on Wishart processes, to be published jointly with Piotr Graczyk (part I) in a corresponding volume in September 2012. They are based on presentations at the CIMPA workshop in Hammamet, Tunesia (Sept. 2011)