Long memory in a linear stochastic Volterra differential equation

DOI10.1016/J.JMAA.2011.03.010zbMATH Open1218.60060arXiv1009.1304OpenAlexW2962732888WikidataQ115346163 ScholiaQ115346163MaRDI QIDQ536288FDOQ536288

Authors: John A. D. Appleby, Katja Krol 

Publication date: 16 May 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1009.1304

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zbMATH Keywords

correlation functionstationary solutionsstochastic Volterra equationsubexponential decay

Mathematics Subject Classification ID

Stochastic stability in control theory (93E15) Stochastic integral equations (60H20)

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Cited In (7)

• Projective Stochastic Equations and Nonlinear Long Memory
• Lipschitz continuity in the Hurst index of the solutions of fractional stochastic volterra integro-differential equations
• 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 run behaviour of the autocovariance function of ARCH(\(\infty\)) models
• Long Memory in Nonlinear Processes

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