Geometric Brownian Motion with delay: mean square characterisation

Appleby, J.A.D. and Mao, X. and Riedle, M. (2007) Geometric Brownian Motion with delay: mean square characterisation. Proceedings of the AMS. ISSN 0002-9939 (In Press)

[img] PDF
geo_brown_SFDE-2.pdf

Download (171kB)
Official URL: http://www.ams.org/proc/

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 coefficients.

Item Type: Article
Uncontrolled Keywords: stochastic functional differential equations, geometric Brownian motion, means square stability, renewal equation, variation of constants formula
Subjects: MSC 2010, the AMS's Mathematics Subject Classification > 60 Probability theory and stochastic processes
Depositing User: Dr Markus Riedle
Date Deposited: 11 Jan 2008
Last Modified: 20 Oct 2017 14:12
URI: http://eprints.maths.manchester.ac.uk/id/eprint/1009

Actions (login required)

View Item View Item