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Paper detail

Wishart Processes and Wishart Distributions: An Affine Processes Point of View

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.

preprint2012arXivOpen access
Eberhard Mayerhofer
math.PRmath.STStatistics Theory
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Eberhard Mayerhofer

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