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20-035/III - The Jacobian of the exponential function


  • Authors
    Jan R. Magnus, Vrije Universiteit Amsterdam; Henk G.J. Pijls, University of Amsterdam; Enrique Sentana, CEMFI
  • Publication date
    June 20, 2020
  • Keywords
    Matrix differential calculus, Orthogonal matrix, Continuous-time Markov chain, Ornstein-Uhlenbeck process
  • JEL
    C65, C32, C63