Arbeitspapier
On lp-stability of numerical schemes for affine stochastic delay differential equations stochastic recurrance relations
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2002,59
- Klassifikation
-
Wirtschaft
- Thema
-
recurrence relation
stochastic recurrence relation
SDDE
SFDE
stochastic delay equations
numerical algorithms
stability
stability regions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Gilsing, Hagen
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2002
- Handle
- URN
-
urn:nbn:de:kobv:11-10049179
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Gilsing, Hagen
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2002
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