Mao, X. and Appleby, J.A.D. and Riedle, M. (2009) Geometric Brownian motion with delay: mean square characterisation. Proceedings of the American Mathematical Society, 137 (1). pp. 339348. ISSN 00029939

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Official URL: http://dx.doi.org/10.1090/S0002993908094902
Abstract
A geometric Brownian motion with delay is the solution of a stochastic differential equation where the drift and diffusion coefficient depend linearly on the past of the solution, i.e. a linear stochastic functional differential equation. In this work the asymptotic behavior in mean square of a geometric Brownian motion with delay is completely characterized by a sufficient and necessary condition in terms of the drift and diffusion coefficient.
Item type:  Article 

ID code:  14050 
Keywords:  Geometric Brownian motion, mean square characterisation, differential equations, Mathematics, Applied Mathematics, Mathematics(all) 
Subjects:  Science > Mathematics 
Department:  Faculty of Science > Mathematics and Statistics 
Depositing user:  Mrs Carolynne Westwood 
Date Deposited:  11 Jan 2010 17:16 
Last modified:  15 Apr 2015 11:01 
URI:  http://strathprints.strath.ac.uk/id/eprint/14050 
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