Summary: Affine stochastic differential equations
with finite and infinite delay
Markus Riedle
Humboldt University of Berlin
September, 22nd, 2003
Montreal
Overview
· Affine stochastic differential equations with finite and infinite delay
­ Introduction
­ Examples
­ Differences in the theory of finite and infinite delay
· Stationary solutions
· Equations with infinite delay
reducible to ordinary stochastic differential equations
· Approximations of solutions
1
Finite delay: deterministic
x(t) =
[-,0]
x(t + s) (ds), t 0,

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

Collections: Mathematics