The stochastic dynamic exponential and geometric Brownian motion on isolated time scales

zbMath1202.60132MaRDI QIDQ986012

Suman Sanyal, Martin J. Bohner

Publication date: 10 August 2010

Published in: Communications in Mathematical Analysis (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.cma/1279647309

zbMATH Keywords

time scalestochastic exponentialstochastic dynamic equationsdynamic geometric Brownian motion

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Numerical solutions to stochastic differential and integral equations (65C30) Foundations of stochastic processes (60G05) Real analysis on time scales or measure chains (26E70) Stochastic difference equations (39A50)

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Cites Work

• First and second order linear dynamic equations on time scales
• Stochastic differential equations. An introduction with applications.
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