Multivariate stochastic delay differential equations and CAR representations of CARMA processes-Reference-Cited by-同舟云学术

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Multivariate stochastic delay differential equations and CAR representations of CARMA processes

Published:2019-10 Issue:10 Volume:129 Page:4119-4143
ISSN:0304-4149
Container-title:Stochastic Processes and their Applications
language:en
Short-container-title:Stochastic Processes and their Applications

Author:

Basse-O’Connor Andreas,Nielsen Mikkel Slot^ORCID,Pedersen Jan,Rohde Victor

Funder

Danish Council for Independent Research

Publisher

Elsevier BV

Subject

Applied Mathematics,Modelling and Simulation,Statistics and Probability

Reference27 articles.

1. Quasi ornstein-Uhlenbeck processes;Barndorff-Nielsen;Bernoulli,2011

2. Some stationary processes in discrete and continuous time;Barndorff-Nielsen;Adv. Appl. Probab.,1998

3. Continuous-time models with an autoregressive structure;Basse-O’Connor,2018

4. Putting a price on temperature;Benth;Scand. J. Stat.,2007

5. Times series analysis;Box,1970

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. On nonnegative solutions of SDDEs with an application to CARMA processes;Modern Stochastics: Theory and Applications;2021

2. A stochastic optimal control problem governed by SPDEs via a spatial-temporal interaction operator;Mathematical Control & Related Fields;2021

3. Stochastic differential equations with a fractionally filtered delay: A semimartingale model for long-range dependent processes;Bernoulli;2020-05-01

4. On non-stationary solutions to MSDDEs: Representations and the cointegration space;Stochastic Processes and their Applications;2020-05

5. Stochastic delay differential equations and related autoregressive models;Stochastics;2019-06-27

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