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Stochastic delay differential equations and related autoregressive models

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In this paper we suggest two continuous-time models which exhibit an autoregressive structure. We obtain existence and uniqueness results and study the structure of the solution processes. One of the models, which corresponds to general stochastic delay differential equations, will be given particular attention. We use the obtained results to link the introduced processes to both discrete-time and continuous-time ARMA processes.
OriginalsprogEngelsk
TidsskriftStochastics: An International Journal of Probability and Stochastic Processes
Vol/bind92
Nummer3
Sider (fra-til)454-477
Antal sider24
ISSN1744-2508
DOI
StatusUdgivet - 2020

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