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Gaussian Mehler semigroups generated by stochastic differential equations with delay
 

Summary: Gaussian Mehler semigroups generated by
stochastic differential equations with delay
Markus Riedle
Humboldt-University of Berlin
24 March 2004
Overview
1) Example
2) General formulation of the problem
3) Results
1
Example (1)
dX(t)=
[-r,0]
X(t + u) (du) dt + dW(t), t 0,
X(u)= (u), u [-r, 0],
where W is a real-valued Wiener process,
is a finite signed measure,
C([-r, 0]) := { : [-r, 0] R continuous}
2
Example (1)

  

Source: Applebaum, David - Department of Probability and Statistics, University of Sheffield

 

Collections: Mathematics