Long memory in a linear stochastic Volterra differential equation
From MaRDI portal
Publication:536288
Abstract: In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-convex tail integral, then the autocovariance function of the stationary solution is also regularly varying at infinity and its exact pointwise rate of decay can be determined. Moreover, it can be shown that this stationary process has either long memory in the sense that the autocovariance function is not integrable over the reals or is subexponential. Under certain conditions upon the kernel, even arbitrarily slow decay rates of the autocovariance function can be achieved. Analogous results are obtained for the corresponding discrete equation.
Recommendations
- On regularly varying and history-dependent convergence rates of solutions of a Volterra equation with infinite memory
- Long run behaviour of the autocovariance function of ARCH() models
- Non-exponential stability of scalar stochastic Volterra equations.
- Memory dependent growth in sublinear Volterra differential equations
- Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 2186181 (Why is no real title available?)
- scientific article; zbMATH DE number 5145308 (Why is no real title available?)
- scientific article; zbMATH DE number 4080581 (Why is no real title available?)
- scientific article; zbMATH DE number 3690402 (Why is no real title available?)
- scientific article; zbMATH DE number 3784042 (Why is no real title available?)
- scientific article; zbMATH DE number 43570 (Why is no real title available?)
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- scientific article; zbMATH DE number 2163472 (Why is no real title available?)
- scientific article; zbMATH DE number 2171469 (Why is no real title available?)
- scientific article; zbMATH DE number 2119861 (Why is no real title available?)
- scientific article; zbMATH DE number 3349081 (Why is no real title available?)
- scientific article; zbMATH DE number 3104374 (Why is no real title available?)
- A discrete renewal theorem with infinite mean
- A unified theory of regularly varying sequences
- Financial Markets with Memory I: Dynamic Models
- Financial Markets with Memory II: Innovation Processes and Expected Utility Maximization
- Introduction to functional differential equations
- Long range dependence in financial markets
- Mean square stability of stochastic Volterra integro-differential equations
- On Renewal Sequences
- On Volterra integral equations with nonnegative integrable resolvents
- On exact convergence rates for solutions of linear systems of Volterra difference equations†
- On exact rates of decay of solutions of linear systems of Volterra equations with delay
- On stationary solutions of a stochastic differential equation
- On stationary solutions of delay differential equations driven by a Lévy process.
- Resolvents and Bounds for Linear and Nonlinear Volterra Equations
- Solutions of affine stochastic functional differential equations in the state space
- Stochasic stability of viscoewtic bars
- Stochastic Volterra equations in weighted spaces
- Subexponential solutions of linear integro-differential equations and transient renewal equations
- Variants of the Wiener-Levy Theorem, with Applications to Stability Problems for Some Volterra Integral Equations
- Weighted $L^1$-Remainder Theorems for Resolvents of Volterra Equations
Cited in
(8)- Stochastic Volterra integro-differential equations driven by a fractional Brownian motion with delayed impulses
- Volterra-type Ornstein-Uhlenbeck processes in space and time
- On a class of McKean-Vlasov stochastic functional differential equations with applications
- Long Memory in Nonlinear Processes
- Necessary and sufficient conditions for periodic decaying resolvents in linear discrete convolution Volterra equations and applications to \(\mathrm{ARCH}(\infty)\) processes
- Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
- Long run behaviour of the autocovariance function of ARCH(\(\infty\)) models
- Projective Stochastic Equations and Nonlinear Long Memory
This page was built for publication: Long memory in a linear stochastic Volterra differential equation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q536288)
