Geometric Brownian Motion with delay: mean square characterisation

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dc.creatorAppleby, J. A. D.
dc.creatorRiedle, M.
dc.date2007-03-28
dc.date.accessioned2026-07-07T07:54:15Z
dc.date.available2026-07-07T07:54:15Z
dc.descriptionA 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 coefficients.
dc.description9 pages
dc.identifierhttps://arxiv.org/abs/math/0703837
dc.identifierhttp://arxiv.org/abs/math/0703837
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/126530
dc.subjectProbability
dc.subjectDynamical Systems
dc.subject60H20; 60H10; 34K20; 34K50
dc.titleGeometric Brownian Motion with delay: mean square characterisation
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