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Stationary solutions of retarded Ornstein–Uhlenbeck processes in Hilbert spaces
- Source :
- Statistics & Probability Letters. 78:1775-1783
- Publication Year :
- 2008
- Publisher :
- Elsevier BV, 2008.
-
Abstract
- In this note, we shall study a class of retarded Langevin equations in infinite-dimensional spaces. An informative description of stationary solutions is given by means of Green operators, Lyapunov equations, the second moment bounds and retarded point spectrum. The covariance operator of the stationary solution is described as a solution of some retarded operator equation.
- Subjects :
- Statistics and Probability
Lyapunov function
Mathematical analysis
Spectrum (functional analysis)
Hilbert space
Ornstein–Uhlenbeck process
Covariance
Physics::Classical Physics
symbols.namesake
Covariance operator
Operator (computer programming)
symbols
Lyapunov equation
Statistics, Probability and Uncertainty
Mathematics
Subjects
Details
- ISSN :
- 01677152
- Volume :
- 78
- Database :
- OpenAIRE
- Journal :
- Statistics & Probability Letters
- Accession number :
- edsair.doi...........dacad3f637f6e72e24fa40cdc582d542
- Full Text :
- https://doi.org/10.1016/j.spl.2008.01.026