Picard Iterations for Diffusions on Symmetric Matrices

Carlos G. Pacheco ()
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Carlos G. Pacheco: CINVESTAV-IPN

Journal of Theoretical Probability, 2016, vol. 29, issue 4, 1444-1457

Abstract: Abstract Matrix-valued stochastic processes have been of significant importance in areas such as physics, engineering and mathematical finance. One of the first models studied has been the so-called Wishart process, which is described as the solution of a stochastic differential equation in the space of matrices. In this paper, we analyze natural extensions of this model and prove the existence and uniqueness of the solution. We do this by carrying out a Picard iteration technique in the space of symmetric matrices. This approach takes into account the operator character of the matrices, which helps to corroborate how the Lipchitz conditions also arise naturally in this context.

Keywords: Matrix-valued diffusions; Lipschitz conditions; Picard iterations; 60J60; 58J65 (search for similar items in EconPapers)
Date: 2016
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DOI: 10.1007/s10959-015-0618-8

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