A mean-reverting SDE on correlation matrices

标题
A mean-reverting SDE on correlation matrices
作者
关键词
-
出版物
STOCHASTIC PROCESSES AND THEIR APPLICATIONS
Volume 123, Issue 4, Pages 1472-1520
出版商
Elsevier BV
发表日期
2012-12-27
DOI
10.1016/j.spa.2012.12.008

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