Stochastic delay differential equations and related autoregressive models

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

Authors

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

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

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)

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.

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Cited in

(5)

• Multivariate stochastic delay differential equations and CAR representations of CARMA processes
• Stability analysis between the hybrid stochastic delay differential equations with jumps and the Euler-Maruyama method
• 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
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