On Émery's Inequality and a Variation-of-Constants Formula
From MaRDI portal
Publication:3444683
DOI10.1080/07362990601139586zbMath1127.60062MaRDI QIDQ3444683
Onno van Gaans, Markus Reiss, Markus Riedle
Publication date: 4 June 2007
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/3167
semimartingale; variation-of-constants formula; stochastic delay differential equation; linear drift; Émery's inequality; functional Lipschitz coefficient
60G48: Generalizations of martingales
34K50: Stochastic functional-differential equations
60H20: Stochastic integral equations
Related Items
Bilateral teleoperation of stochastic port‐Hamiltonian systems using energy tanks, Multivariate COGARCH(1, 1) processes, Lévy driven moving averages and semimartingales, Delay differential equations driven by Lévy processes: stationarity and Feller properties, Bubbles and crashes in a Black-Scholes model with delay, Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations, Geometric Brownian motion with delay: mean square characterisation
Cites Work
- Unnamed Item
- Unnamed Item
- Delay differential equations driven by Lévy processes: stationarity and Feller properties
- Volterra equations driven by semimartingales
- Introduction to functional differential equations
- [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
- Stochastic Equations in Infinite Dimensions
