Abstract
The theory of affine processes on the space of positive semidefinite d×d matrices has been established in a joint work with Cuchiero et al. (2011) [4]. We confirm the conjecture stated therein that in dimension d>1 this process class does not exhibit jumps of infinite total variation. This constitutes a geometric phenomenon which is in contrast to the situation on the positive real line (Kawazu and Watanabe, 1971) [8]. As an application we prove that the exponentially affine property of the Laplace transform carries over to the Fourier-Laplace transform if the diffusion coefficient is zero or invertible.
Original language | English |
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Pages (from-to) | 3445-3459 |
Number of pages | 15 |
Journal | Stochastic Processes and their Applications |
Volume | 122 |
Issue number | 10 |
DOIs | |
Publication status | Published - Oct 2012 |
Externally published | Yes |
Keywords
- Affine processes
- Jumps
- Positive semidefinite processes
- Wishart processes