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dc.contributor.authorReiß, Markusen_US
dc.date.accessioned2009-01-29T14:54:58Z-
dc.date.available2009-01-29T14:54:58Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050055-
dc.identifier.urihttp://hdl.handle.net/10419/22233-
dc.description.abstractStochastic delay differential equations (SDDEs for short) appear naturally in the description of many processes, e.g. in population dynamics with a time lag due to an age-dependent birth rate (Scheutzow 1981), in economics where a certain "time to build" is needed (Kydland and Prescott 1982) or in laser technology (Garcia-Ojalvo and Roy 1996), in finance (Hobson and Rogers 1998) and in many engineering applications, see Kohmanovskii and Myshkis (1992) for an overview. They are also obtained as continuous-time limits of time series models, e.g. Jeantheau (2001), Reiß (2001). Among the huge variety of types of equations, the so-called affine stochastic delay differential equations form the fundamental class. They generalize the Langevin equation leading to the Ornstein-Uhlenbeck process and appear as continuous-time limits of linear autoregressive schemes.en_US
dc.language.isoengen_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,18en_US
dc.subject.ddc330en_US
dc.subject.stwAnalysisen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.titleAdaptive estimation for affine stochastic delay differential equationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379251019en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200318-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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