کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1157110 | 958931 | 2006 | 24 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Delay differential equations driven by Lévy processes: Stationarity and Feller properties
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We consider a stochastic delay differential equation driven by a general Lévy process. Both the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment process is eventually Feller, but in general not eventually strong Feller on the Skorokhod space. The existence of an invariant measure is shown by proving tightness of the segments using semimartingale characteristics and the Krylov–Bogoliubov method. A counterexample shows that the stationary solution in completely general situations may not be unique, but in more specific cases uniqueness is established.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 116, Issue 10, October 2006, Pages 1409–1432
Journal: Stochastic Processes and their Applications - Volume 116, Issue 10, October 2006, Pages 1409–1432
نویسندگان
M. Reiß, M. Riedle, O. van Gaans,