正半定矩阵上的仿射过程
Affine processes on positive semidefinite matrices
摘要：
本文给出了半正定对称矩阵锥上随机连续仿射过程的数学基础。这种分析的动机是大量和越来越多地使用矩阵值仿射过程在金融，包括多资产期权定价与随机波动率和相关结构，以及固定收益模型与随机相关的风险因素和违约强度。
英文摘要：
This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
