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ERGODICITY OF AFFINE PROCESSES ON THE CONE OF SYMMETRIC POSITIVE SEMIDEFINITE MATRICES

Friesen, M; Jin, P; Kremer, J; Rudiger, B

Friesen, M (corresponding author), Univ Wuppertal, Sch Math & Nat Sci, D-42119 Wuppertal, Germany.

ADVANCES IN APPLIED PROBABILITY, 2020; 52 (3): 825

Abstract

This article investigates the long-time behavior of conservative affine processes on the cone of symmetric positive semidefinite d x d matrices. In pa......

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