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dc.contributor.authorReiß, Markusen
dc.date.accessioned2009-01-29T14:54:58Z-
dc.date.available2009-01-29T14:54:58Z-
dc.date.issued2003-
dc.identifier.piurn:nbn:de:kobv:11-10050055en
dc.identifier.urihttp://hdl.handle.net/10419/22233-
dc.description.abstractStochastic 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.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 |x2003,18en
dc.subject.ddc330en
dc.subject.stwAnalysisen
dc.subject.stwStochastischer Prozessen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.titleAdaptive estimation for affine stochastic delay differential equations-
dc.typeWorking Paperen
dc.identifier.ppn379251019en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:sfb373:200318en

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