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

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math.ST2009★ 44 cited

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

Christian Pigorsch, Robert Stelzer

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+XA^{\mathrm{T}}…