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On the definition, stationary distribution and second order structure of positive semidefinite Ornstein–Uhlenbeck type processes
Several important properties of positive semidefinite processes of Ornstein–Uhlenbeck type are analysed. It is shown that linear operators of the form $X↦AX+XA^T$ with $A∈M_d(ℝ)$ are the only ones that can be used in the definition provided one demands a natural non-degeneracy condition. Furthermore, we analyse the absolute continuity properties of …