Concepedia

Delay differential equations driven by Lévy processes: Stationarity and Feller properties

Michael Reiß, Markus Riedle, Onno van Gaans

Stochastic Processes and their Applications · 2006 · 79 citations · 17 references

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Concepts

References

17

Limit Theorems for Stochastic Processes.

Ditlev Monrad, Jean Jacod, Albert N. Shiryaev · Journal of the American Statistical Association · 1988 · 4.2K citations

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Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics

Ole E. Barndorff–Nielsen, Neil Shephard · Journal of the Royal Statistical Society Series B (Statistical Methodology) · 2001 · 1.9K citations

, , +16

Lévy Processes in Finance: Theory, Numerics, and Empirical Facts

Sebastian Raible · FreiDok plus (Universitätsbibliothek Freiburg) · 2000 · 221 citations · Full text

, , +14

On stationary solutions of a stochastic differential equation

Kiyosi Itô, Makiko Nisio · Kyoto journal of mathematics · 1964 · 205 citations · Full text

, , +15

Langevins stochastic differential equation extended by a time-delayed term

Uwe Küchler, Beatrice Mensch · Stochastics and stochastics reports · 1992 · 173 citations

, , +12