摘要翻译：
本文给出了半正定对称矩阵锥上随机连续仿射过程的数学基础。这种分析的动机是在金融学中大量和越来越多地使用矩阵值仿射过程，包括具有随机波动率和相关结构的多资产期权定价，以及具有随机相关风险因素和违约强度的固定收益模型。
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英文标题：
《Affine processes on positive semidefinite matrices》
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作者：
Christa Cuchiero, Damir Filipovi\'c, Eberhard Mayerhofer, Josef
  Teichmann
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最新提交年份：
2011
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分类信息：

一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance        数量金融学
二级分类：Computational Finance        计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
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英文摘要：
  This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finance, including multi-asset option pricing with stochastic volatility and correlation structures, and fixed-income models with stochastically correlated risk factors and default intensities.
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PDF链接：
https://arxiv.org/pdf/0910.0137