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