Geometric Brownian motion with delay : mean square characterisation

Appleby, John A. D. and Mao, Xuerong and Riedle, Markus (2009) Geometric Brownian motion with delay : mean square characterisation. Proceedings of the American Mathematical Society, 137 (1). pp. 339-348. ISSN 0002-9939 (https://doi.org/10.1090/S0002-9939-08-09490-2)

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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.

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• Item metadata

  Item type:	Article
  ID code:	14050
  Dates:	Date Event 2009 Published
  Subjects:	Science > Mathematics
  Department:	Faculty of Science > Mathematics and Statistics
  Depositing user:	Mrs Carolynne Westwood
  Date deposited:	11 Jan 2010 17:16
  Last modified:	17 Apr 2024 10:09
  URI:	https://strathprints.strath.ac.uk/id/eprint/14050