On oscillations of the geometric Brownian motion with time-delayed drift
From MaRDI portal
Publication:868267
DOI10.1016/j.spl.2004.03.013zbMath1126.60048MaRDI QIDQ868267
Uwe Küchler, Alexander A. Gushchin
Publication date: 2 March 2007
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://edoc.hu-berlin.de/18452/4218
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
34K50: Stochastic functional-differential equations
93E03: Stochastic systems in control theory (general)
Related Items
On the positivity and zero crossings of solutions of stochastic Volterra integrodifferential equations, Path dependent volatility
Cites Work