Boundary-hitting conjecture for Wishart stochastic differential equations
Boundary-hitting conjecture for Wishart stochastic differential equations
Let and be arbitrary matrices, let , and let be a solution of the Wishart stochastic differential equation with initial condition . Write 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:
The claim extends a known result for and ; the source states that the corresponding result for general or 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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