Affine pure-jump processes on positive Hilbert–Schmidt operators

Sonja Cox, Sven Karbach and Asma Khedher

Stochastic Processes and their Applications, 2022, vol. 151, issue C, 191-229

Abstract: We show the existence of a broad class of affine Markov processes on the cone of positive self-adjoint Hilbert–Schmidt operators. Such processes are well-suited as infinite-dimensional stochastic covariance models. The class of processes we consider is an infinite-dimensional analogue of the affine processes on the cone of positive semi-definite and symmetric matrices studied in Cuchiero et al. (2011).

Date: 2022
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DOI: 10.1016/j.spa.2022.05.008

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