Please use this identifier to cite or link to this item:
Gilsing, Hagen
Year of Publication: 
Series/Report no.: 
SFB 373 Discussion Paper 2002,59
Numerical solutions of SDDE often reflect to only a limited extent the exact solution behaviour. Hence it is necessary to identify those parameters of SDDE and algorithm for which a numerical method in use is reliable. For affine SDDE test equations, there exist estimates of the stability regions of a numerical method. However, these results rely on bounds for covariance terms. In this paper exact hut high dimensional stochastic affine (linear) recurrence relations are derived for some p > 1. A reduction method presented here allows the representation of the corresponding characteristic polynomial as a determinant of a matrix of polynomial coefficients and lower dimension. This can be used to compute non-zero coefficients of the characteristic polynomial for application to stability questions concerning SDDE. A number of areas where work is continuing is indicated.
recurrence relation
stochastic recurrence relation
stochastic delay equations
numerical algorithms
stability regions
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.