Asymptotic and exponential decay in mean square for delay geometric Brownian motion.

DOI10.21136/AM.2021.0358-20MaRDI QIDQ2674459zbMATH OpenWikidataFDO

Authors Jan Haškovec

Publication date 12 September 2022

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2005.03752

zbMATH Keywords

asymptotic decaydelayexponential decaygeometric Brownian motion

Mathematics Subject Classification ID

Oscillation theory of functional-differential equations (34K11) Asymptotic theory of functional-differential equations (34K25) Stochastic functional-differential equations (34K50) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

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Cited in

(4)

• Asymptotic properties of Brownian motion delayed by inverse subordinators
• Asymptotic and exponential decay in mean square for delay geometric Brownian motion
• The stability of the multivariate geometric Brownian motion as a bilinear matrix inequality problem
• On oscillations of the geometric Brownian motion with time-delayed drift

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