Stochastic delay differential equations and related autoregressive models

DOI10.1080/17442508.2019.1635601zbMATH Open1490.60075arXiv1704.08574OpenAlexW2954270337WikidataQ127612265 ScholiaQ127612265MaRDI QIDQ5086489FDOQ5086489

Authors:

Publication date: 5 July 2022

Published in: Stochastics (Search for Journal in Brave)

Abstract: In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general stochastic delay differential equations, will be given particular attention. We use the obtained results to link the introduced processes to both discrete-time and continuous-time ARMA processes.

Full work available at URL: https://arxiv.org/abs/1704.08574

Recommendations

• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• scientific article
• Stochastic differential equations with a fractionally filtered delay: a semimartingale model for long-range dependent processes
• Continuous-time ARMA processes
• A STOCHASTIC PROCESS THAT IS AUTOREGRESSIVE IN TWO DIRECTIONS OF TIME.

zbMATH Keywords

long-range dependencestochastic delay differential equationsmoving averagesCARMA processesautoregressive structuresprocesses of Ornstein-Uhlenbeck type

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stationary stochastic processes (60G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic integral equations (60H20)

Cites Work

• Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
• Title not available (Why is that?)
• Correlation theory of stationary and related random functions. Volume I: Basic results
• Spectral representations of infinitely divisible processes
• Title not available (Why is that?)
• Existence and uniqueness of stationary Lévy-driven CARMA processes
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Quasi Ornstein-Uhlenbeck processes
• Title not available (Why is that?)
• Multivariate CARMA processes
• Fractional Lévy processes with an application to long memory moving average processes
• Title not available (Why is that?)
• On stationary solutions of delay differential equations driven by a Lévy process.
• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• Delay differential equations driven by Lévy processes: stationarity and Feller properties
• Langevins stochastic differential equation extended by a time-delayed term
• On infinitely divisible semimartingales
• Statistical inference for discrete-time samples from affine stochastic delay differential equations
• Ambit Stochastics
• Characterization of the finite variation property for a class of stationary increment infinitely divisible processes

Cited In (3)

• Title not available (Why is that?)
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• On non-stationary solutions to MSDDEs: representations and the cointegration space

This page was built for publication: Stochastic delay differential equations and related autoregressive models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5086489)