Arbeitspapier

On lp-stability of numerical schemes for affine stochastic delay differential equations stochastic recurrance relations

to connected objects

Numerical solutions of SDDE often reflect to only a limited extent the exact solution behaviour. Hence it is necessary to identify those parameters of SDDE and algorithm for which a numerical method in use is reliable. For affine SDDE test equations, there exist estimates of the stability regions of a numerical method. However, these results rely on bounds for covariance terms. In this paper exact hut high dimensional stochastic affine (linear) recurrence relations are derived for some p > 1. A reduction method presented here allows the representation of the corresponding characteristic polynomial as a determinant of a matrix of polynomial coefficients and lower dimension. This can be used to compute non-zero coefficients of the characteristic polynomial for application to stability questions concerning SDDE. A number of areas where work is continuing is indicated.

Language: Englisch

Bibliographic citation: Series: SFB 373 Discussion Paper ; No. 2002,59

Classification: Wirtschaft

Subject: recurrence relation
stochastic recurrence relation
SDDE
SFDE
stochastic delay equations
numerical algorithms
stability
stability regions

Event: Geistige Schöpfung

(who): Gilsing, Hagen

Event: Veröffentlichung

(who): Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

(where): Berlin

(when): 2002

Handle: http://hdl.handle.net/10419/65315

URN: urn:nbn:de:kobv:11-10049179

Last update: 10.03.2025, 11:45 AM CET

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Object type

Arbeitspapier

Associated

Gilsing, Hagen
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes

Time of origin

2002

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