Publications and Preprints by Eberhard Mayerhofer

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  1. On Positivity of Wishart Distributions on Symmetric Cones, preprint September 2017. (Download)
  2. Levered Funds: Robust Replication and Performance Evaluation (with Paolo Guasoni), version March 2017. (Download)
  3. A Characterization of Wishart Processes and Wishart Distributions (with Piotr Graczyk and Jacek Malecki). Stochastic Processes and Their Applications, to appear. (Download)
  4. The Limits of Leverage (with Paolo Guasoni), Mathematical Finance, to appear. (Download)
  5. Affine Processes on Symmetric Cones (with Christa Cuchiero, Martin Keller-Ressel and Josef Teichmann), Journal of Theoretic Probability, October 2015 (pp. 1-64). (Download)
  6. Exponential Moments of Affine Processes (with Martin Keller-Ressel), Annals of Applied Probability 2015, Vol. 25, No. 2, pp. 714-752. (Download)
  7. Wishart Processes and Wishart Distributions: An Affine Processes Point of View, Modern methods in multivariate statistics, Travaux en Cours, Hermann, Paris, 2014. (Download)
  8. Density Approximations for Multivariate Affine Jump-Diffusion Processes (with Damir Filipovic and Paul Schneider), Journal of Econometrics, Vol. 176, No. 2 (2013), pages 93-111 (Download)
  9. On the existence of non-central Wishart distributions, Journal of Multivariate Analysis 114 (2013) pages 448-456. (Download)
  10. Affine Processes on positive semidefinite d x d matrices have jumps of finite variation in dimension d>1, Stochastic Processes and Their Applications, Volume 122, Issue 10, Pages 3445-3459 (October 2012). (Download)
  11. On strong solutions of positive definite jump-diffusions (with Oliver Pfaffel and Robert Stelzer), Stochastic Processes and their Applications 121 (2011), No.9, pp. 2072-2086. (Download)
  12. Affine processes on positive semidefinite matrices (with Christa Cuchiero, Damir Filipovic and Josef Teichmann), Annals of Applied Probability 2011, Vol. 21, No. 2, 397-463. (Download)
  13. A characterization of the martingale property of exponentially affine processes (with Johannes Muhle-Karbe and Alexander G. Smirnov), Stochastic Processes and their Applications, Vol. 121 (2011), No. 3, pp. 568-582. (Download)
  14. On convexity of solutions of ordinary differential equations (with Martin Keller-Ressel and Alexander G. Smirnov), J. Math. Anal. Appl. 368 (2010) 247-253. (Download)
  15. On the functional equation Af^2+Bg^2=1 in a p-adic field of characteristic zero, p-adic Numbers, Ultrametric Analysis, and Applications, Vol 2, Number 1, pp.68-76, 2010. (Download)
  16. Affine Diffusion Processes: Theory and Applications (with Damir Filipovic), in Advanced financial Modeling, Walter de Gruyter, Radon Series Comp. Appl. Math 8, 125-164, 2009. (Download)
  17. The wave equation on singular space-times (with James D.E. Grant and R. Steinbauer), Comm. Math. Phys. 285 (2009), no. 2, 399--420. (Download)
  18. On Lorentz geometry in algebras of generalized functions, Proc. Roy. Soc. Edinburgh Sect. A 138 (2008), no. 4, 843--871. (Download)
  19. Homogeneity in generalized Function Algebras (with Clemens Hanel, Hans Vernaeve and Stevan Pilipovic), J. Math. Anal. Appl. 339 (2008), pp. 889-904. (Download)
  20. Spherical completeness of the non-archimedean ring of Colombeau generalized numbers, Bulletin of the Institute of Mathematics, Academia Sinica (New Series) Vol.2, No. 3, pp. 769-783 (2007). (Download )
  21. On the characterization of p-adic Colombeau-Egorov generalized functions by their point values, Mathematische Nachrichten, Vol. 280, No. 11, 2007, pp. 1297-1301. (Download)
  22. Rational Decompositions of p-adic meromorphic functions, Scientiae Mathematicae Japonicae 61 (2005), no. 1, 1-13. (Download)
  23. Rational decompositions of complex meromorphic functions (with Alain Escassut), Complex Variables, Theory and Applications: An International Journal, Vol 49 (2004), no. 14, 991-996. (Download)
  24. Quadratwurzeln einer Matrix (mit Norbert Brunner), Wissenschatliche Nachrichten 125 (Juli/August 2004), Ministerium fuer Bildung, Wissenschaft und Kultur, Wien. (Download)