On stationary solutions of delay differential equations driven by a Lévy process

Alexander Gushchin and Uwe Küchler

Stochastic Processes and their Applications, 2000, vol. 88, issue 2, 195-211

Abstract: The stochastic delay differential equationis considered, where Z(t) is a process with independent stationary increments and a is a finite signed measure. We obtain necessary and sufficient conditions for the existence of a stationary solution to this equation in terms of a and the Lévy measure of Z.

Keywords: Lévy; processes; Processes; of; Ornstein-Uhlenbeck; type; Stationary; solution; Stochastic; delay; differential; equations (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (11)

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