Singular-values of matrix-valued Ornstein–Uhlenbeck processes
نویسندگان
چکیده
منابع مشابه
Nonsmooth Matrix Valued Functions Defined by Singular Values
A class of matrix valued functions defined by singular values of nonsymmetric matrices are shown to have many properties analogous to matrix valued functions defined by eigenvalues of symmetric matrices. In particular, the (smoothed) matrix valued Fischer-Burmeister function is proved to be strongly semismooth everywhere. This result is also used to show the strong semismoothness of the (smooth...
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Dedicated to Professor H. M. Srivastava on the Occasion of his Seventieth Birth Anniversary
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ژورنال
عنوان ژورنال: Stochastic Processes and their Applications
سال: 1999
ISSN: 0304-4149
DOI: 10.1016/s0304-4149(99)00007-1