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20152026
most citedRecursive computation of the invariant distribution of Markov and Feller processes

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math.ST2015

Maximum Likelihood Estimation for Wishart processes

Aurélien Alfonsi, Ahmed Kebaier, Clément Rey

In the last decade, there has been a growing interest to use Wishart processes for modelling, especially for financial applications. However, there are still few studies on the est…