Boundary-hitting conjecture for Wishart stochastic differential equations

Let β\beta and QQ be arbitrary d×dd\times d matrices, let p<d+12p<\frac{d+1}{2}, and let XtX_t be a solution of the Wishart stochastic differential equation with initial condition X0=xSd+X_0=x\in S_d^+. Write TxT_x for the first time at which the process hits the boundary of the positive semidefinite cone. Boundary-hitting conjecture. Every such solution hits the boundary in finite time with positive probability:

P(Tx<)>0.\mathbb P(T_x<\infty)>0.

The claim extends a known result for β=0\beta=0 and Q=IQ=I; the source states that the corresponding result for general β\beta or Q0Q\neq 0 was not known there.

Sources & referencesView supporting material

Primary source

Eberhard Mayerhofer, “Wishart Processes and Wishart Distributions: An Affine Processes Point of View”, arXiv:1201.6634 (2012).

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