On nonnegative solutions of SDDEs with an application to CARMA processes

On nonnegative solutions of SDDEs with an application to CARMA processes

This note provides a simple sufficient condition ensuring that solutions of stochastic delay differential equations (SDDEs) driven by subordinators are nonnegative. While, to the best of our knowledge, no simple nonnegativity conditions are available in the context of SDDEs, we compare our result to...

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Bibliographic Details
Main Authors: Mikkel Slot Nielsen, Victor Rohde
Format: Article
Language:English
Published: VTeX 2021-03-01
Series:Modern Stochastics: Theory and Applications
Subjects:
CARMA processes
complete monotonocity
nonnegative stationary processes
stochastic delay differential equations
subordinators
Online Access:https://www.vmsta.org/doi/10.15559/21-VMSTA177

Internet

https://www.vmsta.org/doi/10.15559/21-VMSTA177

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