Multivariate stochastic delay differential equations and CAR representations of CARMA processes

DOI10.1016/j.spa.2018.11.011zbMath1422.60053arXiv1801.04091OpenAlexW2963960755WikidataQ128818493 ScholiaQ128818493MaRDI QIDQ2274272

Yanyan Li

Publication date: 19 September 2019

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1801.04091

zbMATH Keywords

predictionlong memoryCARMA processesnoise recoveryFICARMA processesMCARMA processesmultivariate Ornstein-Uhlenbeck processesmultivariate stochastic delay differential equations

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integrals (60H05) Foundations of stochastic processes (60G05)

Related Items

Stochastic delay differential equations and related autoregressive models, A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator, Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes, On non-stationary solutions to MSDDEs: representations and the cointegration space, On nonnegative solutions of SDDEs with an application to CARMA processes

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