Long memory in a linear stochastic Volterra differential equation (Q536288)
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scientific article
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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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0.7868214845657349
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0.7760461568832397
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0.759294867515564
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0.7587758302688599
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