A stochastic delay financial model

DOI10.1090/S0002-9939-04-07765-2MaRDI QIDQ4654137zbMATH OpenOpenAlexFDO

Authors George Stoica

Publication date 1 March 2005

Published in Proceedings of the American Mathematical Society (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1090/s0002-9939-04-07765-2

Mathematics Subject Classification ID

Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Auctions, bargaining, bidding and selling, and other market models (91B26)

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Cites work

• A general version of the fundamental theorem of asset pricing
• Anticipative portfolio optimization
• scientific article; zbMATH DE number 51724 (Why is no real title available?)

Cited in

(25)

• Bubbles and crashes in a Black-Scholes model with delay
• Perturbed nonlocal stochastic functional differential equations
• Time-delayed stochastic volatility model
• Fluctuations-induced regime shifts in the endogenous credit system with time delay
• Effect of time delay on flocking dynamics
• Long-term behavior of stochastic interest rate models with jumps and memory
• Delay Stochastic Models in Finance
• A Delayed Black and Scholes Formula
• Short communication: A note on utility indifference pricing with delayed information
• A dynamical theory for singular stochastic delay differential equations. I: Linear equations and a multiplicative ergodic theorem on fields of Banach spaces
• Nonparametric estimation of trend for SDEs with delay driven by a fractional brownian motion with small noise
• An impulsive delay discrete stochastic neural network fractional-order model and applications in finance
• A delayed stochastic volatility correction to the constant elasticity of variance model
• A financial market of a stochastic delay equation
• Delay geometric Brownian motion in financial option valuation
• An explicit approximation for super-linear stochastic functional differential equations
• Portfolio theory of optimal isometric force production: variability predictions and nonequilibrium fluctuation-dissipation theorem
• A model specification test for nonlinear stochastic diffusions with delay
• Numerical analysis of a coupled system for fractional stochastic differential equations
• Delay rough evolution equations
• Euler–Maruyama Approximations of a Delayed CIR-Type Interest Rate Model with Non-Lipschitz Diffusion Factor
• Numerical treatment of stochastic delay differential equations using computational scheme based on shifted Chebyshev cardinal functions
• Time-dependent solutions for stochastic systems with delays: perturbation theory and applications to financial physics
• An existence theorem for stochastic functional differential equations with delays under weak assumptions
• Spectral approximation of infinite-dimensional Black-Scholes equations with memory

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