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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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http://hdl.handle.net/10419/22265
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| Title: | | On L2-stability of solutions of linear stochastic delay differential equations  |
| Authors: | | Gilsing, Hagen |
| Issue Date: | | 2003 |
| Series/Report no.: | | Discussion papers of interdisciplinary research project 373 2003,51 |
| 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. |
| Subjects: | | SDDE SFDE stochastic delay equations stability characteristic equation |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10050866 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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