Several important properties of positive semidefinite processes of Ornstein—Uhlenbeck type are analysed. It is shown that linear operators of the form $X\mapsto AX ...

We analyze two popular semidefinite programming relaxations for quadratically constrained quadratic programs with matrix variables. These relaxations are based on vector lifting and on matrix lifting; ...

Matrix inequalities and means constitute a vibrant area of contemporary mathematical research, blending classical matrix theory with modern applications in numerical analysis, control theory and ...

Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...