Add to ORKGAbstract. 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. 1
AbstractWe consider stochastic delay systems dx(t) = g(x(t − r)) dW(t) driven by multi-dimensional B...
We consider a general stochastic differential delay equation (SDDE) with multiplicative colored nois...
We construct a model of Brownian motion in Minkowski space. There are two aspects of the problem. Th...
Abstract. A geometric Brownian motion with delay is the solution of a stochastic differential equati...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
summary:We derive sufficient conditions for asymptotic and monotone exponential decay in mean square...
Motivated by influential work on complete stochastic volatility models, such as Hobson and Rogers [1...
The paper proposes algorithm for time asymptotic analysis of stochastic linear functional differenti...
The purpose of this paper is to give a detail study on geometric Brownian motion with some applicati...
Averaging procedure; impulse dynamical systems; Markov systems; weak convergence The paper proposes...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
Based on the classical probability, the stability of stochastic differential delay equations (SDDEs)...
We study weak convergence of an Euler scheme for non-linear stochastic delay differential equations ...
AbstractWe consider stochastic delay systems dx(t) = g(x(t − r)) dW(t) driven by multi-dimensional B...
We consider a general stochastic differential delay equation (SDDE) with multiplicative colored nois...
We construct a model of Brownian motion in Minkowski space. There are two aspects of the problem. Th...
Abstract. A geometric Brownian motion with delay is the solution of a stochastic differential equati...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
A geometric Brownian motion with delay is the solution of a stochastic differential equation where t...
summary:We derive sufficient conditions for asymptotic and monotone exponential decay in mean square...
Motivated by influential work on complete stochastic volatility models, such as Hobson and Rogers [1...
The paper proposes algorithm for time asymptotic analysis of stochastic linear functional differenti...
The purpose of this paper is to give a detail study on geometric Brownian motion with some applicati...
Averaging procedure; impulse dynamical systems; Markov systems; weak convergence The paper proposes...
In the modeling of financial market, especially stock market, Brownian Motion play a significant rol...
Based on the classical probability, the stability of stochastic differential delay equations (SDDEs)...
We study weak convergence of an Euler scheme for non-linear stochastic delay differential equations ...
AbstractWe consider stochastic delay systems dx(t) = g(x(t − r)) dW(t) driven by multi-dimensional B...
We consider a general stochastic differential delay equation (SDDE) with multiplicative colored nois...
We construct a model of Brownian motion in Minkowski space. There are two aspects of the problem. Th...