On Émery's Inequality and a Variation-of-Constants Formula

DOI10.1080/07362990601139586zbMath1127.60062OpenAlexW2048901903MaRDI QIDQ3444683

Onno van Gaans, Markus Reiss, Markus Riedle

Publication date: 4 June 2007

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/3167

zbMATH Keywords

semimartingalevariation-of-constants formulastochastic delay differential equationlinear driftÉmery's inequalityfunctional Lipschitz coefficient

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20)

Related Items (7)

Lévy driven moving averages and semimartingales ⋮ Delay differential equations driven by Lévy processes: stationarity and Feller properties ⋮ Multivariate COGARCH(1, 1) processes ⋮ Bilateral teleoperation of stochastic port‐Hamiltonian systems using energy tanks ⋮ Bubbles and crashes in a Black-Scholes model with delay ⋮ Invariant measures and a stability theorem for locally Lipschitz stochastic delay equations ⋮ Geometric Brownian motion with delay: mean square characterisation

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• Delay differential equations driven by Lévy processes: stationarity and Feller properties
• Volterra equations driven by semimartingales
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• [https://portal.mardi4nfdi.de/wiki/Publication:4121258 Stabilit� des solutions des �quations diff�rentielles stochastiques application aux int�grales multiplicatives stochastiques]
• Stochastic Equations in Infinite Dimensions

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