On Existence and Uniqueness of Stationary Distributions for Stochastic Delay Differential Equations with Positivity Constraints
| Autor: | Michael S. Kinnally, Ruth J. Williams |
|---|---|
| Jazyk: | angličtina |
| Rok vydání: | 2010 |
| Předmět: |
Statistics and Probability
Stationary distribution Mathematical analysis Lyapunov/Razumikhin-type argument 34K50 Delay differential equation State (functional analysis) stochastic differential equation 37H10 Noise (electronics) stationary distribution 93E15 Stochastic partial differential equation Stochastic differential equation 60J25 normal reflection Uniqueness 60H10 Statistics Probability and Uncertainty asymptotic coupling delay equation Mathematics Deterministic system |
| Zdroj: | Electron. J. Probab. 15 (2010), 409-451 |
| Popis: | Deterministic dynamic models with delayed feedback and state constraints arise in a variety of applications in science and engineering. There is interest in understanding what effect noise has on the behavior of such models. Here we consider a multidimensional stochastic delay differential equation with normal reflection as a noisy analogue of a deterministic system with delayed feedback and positivity constraints. We obtain sufficient conditions for existence and uniqueness of stationary distributions for such equations. The results are applied to an example from Internet rate control and a simple biochemical reaction system. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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