2008-03-07Buch DOI: 10.18452/2757
Geometric Brownian Motion with delay
mean square characterisation
Appleby, John A. D.
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.
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