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dc.contributor.authorGilsing, Hagenen_US
dc.date.accessioned2009-01-29T14:55:15Z-
dc.date.available2009-01-29T14:55:15Z-
dc.date.issued2003en_US
dc.identifier.piurn:nbn:de:kobv:11-10050866-
dc.identifier.urihttp://hdl.handle.net/10419/22265-
dc.description.abstractStochastic 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.isoengen_US
dc.publisheren_US
dc.relation.ispartofseriesDiscussion papers of interdisciplinary research project 373 2003,51en_US
dc.subject.ddc330en_US
dc.subject.keywordSDDEen_US
dc.subject.keywordSFDEen_US
dc.subject.keywordstochastic delay equationsen_US
dc.subject.keywordstabilityen_US
dc.subject.keywordcharacteristic equationen_US
dc.subject.stwAnalysisen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwTheorieen_US
dc.titleOn L2-stability of solutions of linear stochastic delay differential equationsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn379176076en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:sfb373:200351-
Appears in Collections:Discussion Papers, SFB 373, HU Berlin

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