We show the existence of a broad class affine Markov processes on cone positive self-adjoint Hilbert–Schmidt operators. Such are well-suited as infinite-dimensional stochastic covariance models. The we consider is an analogue semi-definite and symmetric matrices studied in Cuchiero et al. (2011). As finite-dimensional case, construct allow for drift depending linearly state, well jumps governed...

Trace class operators Cont Last time I define and operator to be of 'trace class' if it is a finite sum of products of Hilbert-Schmidt operators (1) T =