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dc.contributor.authorGilsing, Hagenen
dc.date.accessioned2009-01-29T14:55:15Z-
dc.date.available2009-01-29T14:55:15Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050866en
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes |cBerlinen
dc.relation.ispartofseries|aSFB 373 Discussion Paper |x2003,51en
dc.subject.ddc330en
dc.subject.keywordSDDEen
dc.subject.keywordSFDEen
dc.subject.keywordstochastic delay equationsen
dc.subject.keywordstabilityen
dc.subject.keywordcharacteristic equationen
dc.subject.stwAnalysisen
dc.subject.stwStochastischer Prozessen
dc.subject.stwTheorieen
dc.titleOn L2-stability of solutions of linear stochastic delay differential equations-
dc.typeWorking Paperen
dc.identifier.ppn379176076en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200351en

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