Related papers: On the existence of some ARCH($\infty$) processes
In this paper the class of ARCH$(\infty)$ models is generalized to the nonstationary class of ARCH$(\infty)$ models with time-varying coefficients. For fixed time points, a stationary approximation is given leading to the notation ``locally…
A new sufficient condition is proved for the existence of stochastic semigroups generated by the sum of two unbounded operators. It is applied to one-dimensional piecewise deterministic Markov processes, where we also discuss the existence…
Heteroskedasticity is a common feature of financial time series and is commonly addressed in the model building process through the use of ARCH and GARCH processes. More recently multivariate variants of these processes have been in the…
We consider a second-order equation of Duffing type. Bounds for the derivative of the restoring force are given which ensure the existence and uniqueness of a periodic solution. Furthermore, the unique periodic solution is asymptotically…
For the multivariate COGARCH(1,1) volatility process we show sufficient conditions for the existence of a unique stationary distribution, for the geometric ergodicity and for the finiteness of moments of the stationary distribution by a…
When considering the problem of forecasting a continuous-time stochastic process over an entire time-interval in terms of its recent past, the notion of Autoregressive Hilbert space processes (ARH) arises. This model can be seen as a…
In this paper we study the existence of continuous solutions and their constructions for a second order iterative functional equation, which involves iterate of the unknown function and a nonlinear term. Imposing Lipschitz conditions to…
Some properties of random Conley index are obtained and then a sufficient condition for the existence of abstract bifurcation points for both discrete-time and continuous-time random dynamical systems is presented. This stochastic…
We give necessary and sufficient existence criteria, and methods for finding, continuous solutions of linear equations whose coefficients are polynomials.
We consider p-evolution equations, for $p\geq2$, with complex valued coefficients. We prove that a necessary condition for $H^\infty$ well-posedness of the associated Cauchy problem is that the imaginary part of the coefficient of the…
Under a mild Lipschitz condition we prove a theorem on the existence and uniqueness of global solutions to delay fractional differential equations. Then, we establish a result on the exponential boundedness for these solutions.
Fragmentation--coagulation processes, in which aggregates can break up or get together, often occur together with decay processes in which the components can be removed from the aggregates by a chemical reaction, evaporation, dissolution,…
We provide new, mild conditions for strict stationarity and ergodicity of a class of BEKK processes. By exploiting that the processes can be represented as multivariate stochastic recurrence equations, we characterize the tail behavior of…
We prove existence and uniqueness of a stationary distribution and absolute regularity for nonlinear GARCH and INGARCH models of order (p,q). In contrast to previous work we impose, besides a geometric drift condition, only a…
We consider a functional semilinear Rayleigh-Stokes equation involving fractional derivative. Our aim is to analyze some circumstances, in those the global solvability and some results on asymptotic behavior of solutions take place. By…
In this work, we present sufficient conditions for the existence of a stationary solution of an abstract stochastic Cauchy problem driven by an arbitrary cylindrical L\'evy process, and show that these conditions are also necessary if the…
This paper provides two results that are useful in the study of the existence and the stability properties of a periodic solution for a given dynamical system. The first result deals with scalar time-periodic systems and establishes the…
We give a necessary and sufficient condition for a system of linear inhomogeneous fractional differential equations to have at least one bounded solution. We also obtain an explicit description for the set of all bounded (or decay)…
In this note, we prove a conditionally centered version of the quenched weak invariance principle under the Hannan condition, for stationary processes. In the course, we obtain a (new) construction of the fact that any stationary process…
In this letter we are concerned with the possibility to approach the existence of solutions to a class of discontinuous dynamical systems of fractional order. In this purpose, the underlying initial value problem is transformed into a…