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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/22265
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Gilsing, Hagen | | en_US |
| dc.date.accessioned | | 2009-01-29T14:55:15Z | | - |
| dc.date.available | | 2009-01-29T14:55:15Z | | - |
| dc.date.issued | | 2003 | | en_US |
| dc.identifier.pi | | urn:nbn:de:kobv:11-10050866 | | - |
| dc.identifier.uri | | http://hdl.handle.net/10419/22265 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | | | en_US |
| dc.relation.ispartofseries | | Discussion papers of interdisciplinary research project 373 2003,51 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | SDDE | | en_US |
| dc.subject.keyword | | SFDE | | en_US |
| dc.subject.keyword | | stochastic delay equations | | en_US |
| dc.subject.keyword | | stability | | en_US |
| dc.subject.keyword | | characteristic equation | | en_US |
| dc.subject.stw | | Analysis | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | On L2-stability of solutions of linear stochastic delay differential equations | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 379176076 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| dc.identifier.repec | | RePEc:zbw:sfb373:200351 | | - |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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