Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen:
https://hdl.handle.net/10419/22265
Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Gilsing, Hagen | en |
dc.date.accessioned | 2009-01-29T14:55:15Z | - |
dc.date.available | 2009-01-29T14:55:15Z | - |
dc.date.issued | 2003 | - |
dc.identifier.pi | urn:nbn:de:kobv:11-10050866 | en |
dc.identifier.uri | http://hdl.handle.net/10419/22265 | - |
dc.description.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. | 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 |x2003,51 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | SDDE | en |
dc.subject.keyword | SFDE | en |
dc.subject.keyword | stochastic delay equations | en |
dc.subject.keyword | stability | en |
dc.subject.keyword | characteristic equation | en |
dc.subject.stw | Analysis | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Theorie | en |
dc.title | On L2-stability of solutions of linear stochastic delay differential equations | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 379176076 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
dc.identifier.repec | RePEc:zbw:sfb373:200351 | en |
Datei(en):
Publikationen in EconStor sind urheberrechtlich geschützt.