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https://hdl.handle.net/10419/22233
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
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dc.contributor.author | Reiß, Markus | en |
dc.date.accessioned | 2009-01-29T14:54:58Z | - |
dc.date.available | 2009-01-29T14:54:58Z | - |
dc.date.issued | 2003 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10050055 | en |
dc.identifier.uri | http://hdl.handle.net/10419/22233 | - |
dc.description.abstract | Stochastic 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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlin | en |
dc.relation.ispartofseries | |aSFB 373 Discussion Paper |x2003,18 | en |
dc.subject.ddc | 330 | en |
dc.subject.stw | Analysis | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Schätztheorie | en |
dc.subject.stw | Theorie | en |
dc.title | Adaptive estimation for affine stochastic delay differential equations | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 379251019 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:200318 | en |
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