Long Memory in a Linear Stochastic Volterra Differential Equation

Details Long Memory in a Linear Stochastic Volterra Differential Equation Long Memory in a Linear Stochastic Volterra Differential Equation

2010-09-07

arxiv.org/abs/1009.1304v1

Mathematics

Classical Analysis and ODEs

Scientific paper

In this paper we consider a linear stochastic Volterra equation which has a stationary solution. We show that when the kernel of the fundamental solution is regularly varying at infinity with a log-convex tail integral, then the autocovariance function of the stationary solution is also regularly varying at infinity and its exact pointwise rate of decay can be determined. Moreover, it can be shown that this stationary process has either long memory in the sense that the autocovariance function is not integrable over the reals or is subexponential. Under certain conditions upon the kernel, even arbitrarily slow decay rates of the autocovariance function can be achieved. Analogous results are obtained for the corresponding discrete equation.

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