Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices
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DOI: 10.1016/j.spa.2013.02.011
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- Carlos G. Pacheco, 2016. "Picard Iterations for Diffusions on Symmetric Matrices," Journal of Theoretical Probability, Springer, vol. 29(4), pages 1444-1457, December.
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Keywords
Affine processes; Wishart processes; Transform analysis;All these keywords.
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