Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22265
Authors: 
Gilsing, Hagen
Year of Publication: 
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: 
Document Type: 
Working Paper

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