On oscillations of the geometric Brownian motion with time-delayed drift (Q868267): Difference between revisions
From MaRDI portal
Changed an Item |
ReferenceBot (talk | contribs) Changed an Item |
||
(2 intermediate revisions by 2 users not shown) | |||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W2095396596 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3369828 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Complete Models with Stochastic Volatility / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4002114 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q3759218 / rank | |||
Normal rank | |||
Property / cites work | |||
Property / cites work: Q4369402 / rank | |||
Normal rank |
Latest revision as of 15:22, 25 June 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | On oscillations of the geometric Brownian motion with time-delayed drift |
scientific article |
Statements
On oscillations of the geometric Brownian motion with time-delayed drift (English)
0 references
2 March 2007
0 references
The authors consider the Ito stochastic differential equation \[ dX(t)=(aX(t)+f(X(t-r)))dt+\sigma X(t)dW(t),\quad t\geq 0 \] with scalar Brownian motion \(W\) and a locally bounded measurable function \(f\). Expressing the solution \(X\) in terms of the classical geometric Brownian motion, it can be proved that for a positive initial segment \((X(s),-r\leq s\leq 0)\) and non-negative \(f\), the process \(X\) remains positive a.s. On the other hand, the authors establish a condition on \(a\), \(\sigma\) and \(f\) such that the solution process with positive initial condition attains zero in finite time a.s. This condition is for instance satisfied if \(f\) is non-increasing with at least linear growth while \(a\) and \(\sigma\) are arbitrary.
0 references
geometric Brownian motion
0 references
stochastic delay differential equations
0 references