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For a scalar linear Volterra equation perturbed by Brownian noise, stationarity under suitable hypotheses and the corresponding correlation function are derived. Using a result about the exact decay rate for the deterministic equation, the exact time asymptotics for the correlation function is derived. Under additional conditions, this is shown to imply subexponential decay. Discrete time counterparts of all the results are also provided. | |||
Property / review text: For a scalar linear Volterra equation perturbed by Brownian noise, stationarity under suitable hypotheses and the corresponding correlation function are derived. Using a result about the exact decay rate for the deterministic equation, the exact time asymptotics for the correlation function is derived. Under additional conditions, this is shown to imply subexponential decay. Discrete time counterparts of all the results are also provided. / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 60H20 / rank | |||
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Property / Mathematics Subject Classification ID | |||
Property / Mathematics Subject Classification ID: 93E15 / rank | |||
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Property / zbMATH DE Number | |||
Property / zbMATH DE Number: 5888566 / rank | |||
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Property / zbMATH Keywords | |||
stochastic Volterra equation | |||
Property / zbMATH Keywords: stochastic Volterra equation / rank | |||
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stationary solutions | |||
Property / zbMATH Keywords: stationary solutions / rank | |||
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correlation function | |||
Property / zbMATH Keywords: correlation function / rank | |||
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subexponential decay | |||
Property / zbMATH Keywords: subexponential decay / rank | |||
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Property / Wikidata QID | |||
Property / Wikidata QID: Q115346163 / rank | |||
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Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
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Property / OpenAlex ID | |||
Property / OpenAlex ID: W2962732888 / rank | |||
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Property / arXiv ID | |||
Property / arXiv ID: 1009.1304 / rank | |||
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Latest revision as of 02:03, 4 July 2024
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English | Long memory in a linear stochastic Volterra differential equation |
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Long memory in a linear stochastic Volterra differential equation (English)
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16 May 2011
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For a scalar linear Volterra equation perturbed by Brownian noise, stationarity under suitable hypotheses and the corresponding correlation function are derived. Using a result about the exact decay rate for the deterministic equation, the exact time asymptotics for the correlation function is derived. Under additional conditions, this is shown to imply subexponential decay. Discrete time counterparts of all the results are also provided.
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stochastic Volterra equation
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stationary solutions
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correlation function
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subexponential decay
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