Browsing by Author "Gaans, Onno van"

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2005-11-02Buch

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

Reiß, Markus; Riedle, Markus; Gaans, Onno van

We consider a stochastic delay differential equation driven by a general Lévy process. Both, the drift and the noise term may depend on the past, but only the drift term is assumed to be linear. We show that the segment ...
2005-01-01Buch

On Émery's inequality and a variation-of-constants formula

Riedle, Markus; Reiß, Markus; Gaans, Onno van

A generalization of Émery's inequality for stochastic integrals is shown for convolution integrals with respect to an arbitrary semimartingale. The inequality is used to prove existence and uniqueness of solutions of ...