Mayerhofer, Eberhard; Pfaffel, Oliver; Stelzer, Robert - In: Stochastic Processes and their Applications 121 (2011) 9, pp. 2072-2086
We show the existence of unique global strong solutions of a class of stochastic differential equations on the cone of symmetric positive definite matrices. Our result includes affine diffusion processes and therefore extends considerably the known statements concerning Wishart processes, which...