Explosion time for some Laplace transforms of the Wishart process
| Autor: | Griselda Deelstra, Christopher Van Weverberg, Martino Grasselli |
|---|---|
| Rok vydání: | 2019 |
| Předmět: |
Statistics and Probability
Laplace transform Stochastic process Applied Mathematics 010102 general mathematics Wishart processes Explosion time 01 natural sciences 010104 statistics & probability Matrix (mathematics) Wishart process Sciences actuarielles Modeling and Simulation Applied mathematics 0101 mathematics Focus (optics) Mathematics |
| Zdroj: | Stochastic models, 35 (1 |
| ISSN: | 1532-4214 1532-6349 |
| DOI: | 10.1080/15326349.2019.1578237 |
| Popis: | In this article, we focus upon a family of matrix valued stochastic processes and study the problem of determining the smallest time such that their Laplace transforms become infinite. In particular, we concentrate upon the class of Wishart processes, which have proved to be very useful in different applications by their ability in describing non-trivial dependence. Thanks to this remarkable property we are able to explain the behavior of the explosion times for the Laplace transforms of the Wishart process and its time integral in terms of the relative importance of the involved factors and their correlations. SCOPUS: ar.j info:eu-repo/semantics/published |
| Databáze: | OpenAIRE |
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