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Title:On L2-stability of solutions of linear stochastic delay differential equations PDF Logo
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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