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On stationary solutions of delay differential equations driven by a Lévy process

The stochastic delay differential equationis considered, where Z(t) is a process with independent stationary increments and a is a finite signed measure. We obtain necessary and sufficient conditions for the existence of a stationary solution to this equation in terms of a and the Lévy measure of Z.
Year of publication:
2000
Authors: Gushchin, Alexander A. ; Küchler, Uwe
Published in:
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 88.2000, 2, p. 195-211
Publisher: Elsevier
Keywords: Lévy processes Processes of Ornstein-Uhlenbeck type Stationary solution Stochastic delay differential equations
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10008874572
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