Related papers: Affine processes on positive semidefinite matrices
Modern evolvements of the technologies have been leading to a profound influence on the financial market. The introduction of constituents like Exchange-Traded Funds, and the wide-use of advanced technologies such as algorithmic trading,…
Flexible sparsity regularization means stably approximating sparse solutions of operator equations by using coefficient-dependent penalizations. We propose and analyse a general nonconvex approach in this respect, from both theoretical and…
We present certain existence criteria and parameterisations for an interpolation problem for completely positive maps that take given matrices from a finite set into prescribed matrices. Our approach uses density matrices associated to…
Procrustes problems are matrix approximation problems searching for a~transformation of the given dataset to fit another dataset. They find applications in numerous areas, such as factor and multivariate analysis, computer vision,…
Having in view some applications in nanophysics, in particular in nanophysics of materials, we develop new dynamical models of structured bodies with affine internal degrees of freedom. In particular, we construct some models where not only…
Boundary problem for linear partial differential algebraic equations system with multiple characteristic curves is considered. It is supposed that matrix-functions pencil of the system under consideration is smoothly equivalent to special…
Positive semidefinite matrix factorization (PSDMF) expresses each entry of a nonnegative matrix as the inner product of two positive semidefinite (psd) matrices. When all these psd matrices are constrained to be diagonal, this model is…
Alternative risk-free rates (RFRs) play a central role in the reform of interest rate benchmarks. We study a model for RFRs driven by a general affine process. Under minimal assumptions, we derive explicit valuation formulas for…
In this paper we study various properties of finite stochastic systems or hidden Markov chains as they are alternatively called. We discuss their construction following different approaches and we also derive recursive filtering formulas…
This is a review with examples concerning the concepts of affine (in particular, constant and linear) vector fields and fundamental vector fields on a manifold. The affine, linear and constant vector fields on a manifold are shown to be in…
We propose a transformation algorithm for a class of Linear Parameter-Varying (LPV) systems with functional affine dependence on parameters, where the system matrices depend affinely on nonlinear functions of the scheduling varable, into…
Shot-Noise processes constitute a useful tool in various areas, in particular in finance. They allow to model abrupt changes in a more flexible way than processes with jumps and hence are an ideal tool for modelling stock prices, credit…
We investigate compressibility of the dimension of positive semidefinite matrices while approximately preserving their pairwise inner products. This can either be regarded as compression of positive semidefinite factorizations of…
We propose a new perspective for the evaluation of matching procedures by considering the complexity of the function class they belong to. Under this perspective we provide theoretical guarantees on post-matching covariate balance through a…
This paper considers decentralized optimization of convex functions with mixed affine equality constraints involving both local and global variables. Constraints on global variables may vary across different nodes in the network, while…
First we provide a simple set of sufficient conditions for the weak convergence of scaled affine processes with state space $R_+ \times R^d$. We specialize our result to one-dimensional continuous state branching processes with immigration.…
Convenient parameterizations of matrices in terms of vectors transform (certain classes of) matrix equations into covariant (hence rotation-invariant) vector equations. Certain recently introduced such parameterizations are tersely…
Symmetric matrix-valued dynamical systems are an important class of systems that can describe important processes such as covariance/second-order moment processes, or processes on manifolds and Lie Groups. We address here the case of…
This paper is concerned with asymptotic behavior of a variety of functionals of increments of continuous semimartingales. Sampling times are assumed to follow a rather general discretization scheme. If an underlying semimartingale is…
In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o semimartingale where the estimators are always non-negative definite. Since the estimators are…