Ahdida, Abdelkoddousse; Alfonsi, Aurélien - In: Stochastic Processes and their Applications 123 (2013) 4, pp. 1472-1520
We introduce a mean-reverting SDE whose solution is naturally defined on the space of correlation matrices. This SDE can be seen as an extension of the well-known Wright–Fisher diffusion. We provide conditions that ensure weak and strong uniqueness of the SDE, and describe its ergodic limit....
