@techreport{Gilsing2003stability,
abstract = {Stochastic Delay Differential Equations (SDDE) are Stochastic Functional Differential Equations with important applications. It is of interest to characterize the L2-stability (stability of second moments) of solutions of SDDE. For the class of linear, scalar SDDE we can show that second comoment function of the solution satisfies a partial differential equation (PDE) with time delay and derive a characteristic equation from it determining the asymptotic behaviour of the second moments. Additionally we derive a necessary criterion for weak stationarity of solutions of linear SDDE.},
author = {Hagen Gilsing},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {330; SDDE; SFDE; stochastic delay equations; stability; characteristic equation; Analysis; Stochastischer Prozess; Theorie},
language = {eng},
note = {urn:nbn:de:kobv:11-10050866},
number = {2003,51},
title = {On L2-stability of solutions of linear stochastic delay differential equations},
type = {Discussion papers of interdisciplinary research project 373},
url = {http://hdl.handle.net/10419/22265},
year = {2003}
}
