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Geometric Brownian motion with delay: mean square characterisation

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. 339-348. ISSN 0002-9939

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    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
    Subjects: Science > Mathematics
    Department: Faculty of Science > Mathematics and Statistics
    Related URLs:
      Depositing user: Mrs Carolynne Westwood
      Date Deposited: 11 Jan 2010 17:16
      Last modified: 13 Mar 2012 06:18
      URI: http://strathprints.strath.ac.uk/id/eprint/14050

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