You are here: MIMS > EPrints
MIMS EPrints

2008.1: Geometric Brownian Motion with delay: mean square characterisation

2008.1: J.A.D. Appleby, X. Mao and M. Riedle (2007) Geometric Brownian Motion with delay: mean square characterisation. Proceedings of the AMS. ISSN 0002-9939

Full text available as:

PDF - Requires a PDF viewer such as GSview, Xpdf or Adobe Acrobat Reader
168 Kb

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 2000 > 60 Probability theory and stochastic processes
MIMS number:2008.1
Deposited By:Dr Markus Riedle
Deposited On:11 January 2008

Download Statistics: last 4 weeks
Repository Staff Only: edit this item