Geometric Brownian motion with delay: mean square characterisation

DOI10.1090/S0002-9939-08-09490-2MaRDI QIDQ3600616zbMATH OpenOpenAlexFDO

Authors John A. D. Appleby, Xuerong Mao, M. Riedle

Publication date 5 February 2009

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

Full work available at URL https://arxiv.org/abs/math/0703837

zbMATH Keywords

geometric Brownian motionstochastic functional differential equationsmean square stabilityrenewal equationvariation of constants formula

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stability theory of functional-differential equations (34K20) Stochastic functional-differential equations (34K50) Stochastic integral equations (60H20)

Abstract: A geometric Brownian motion with delay is the solution of a stochastic differential equation where the drift and diffusion coefficient depend linearly on the past of the solution, i.e. a linear stochastic functional differential equation. In this work the asymptotic behavior in mean square of a geometric Brownian motion with delay is completely characterized by a sufficient and necessary condition in terms of the drift and diffusion coefficients.

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Cited in

(12)

• On the dynamics and asymptotic behaviour of the mean square of scalar linear stochastic difference equations
• Delay dependent stability of stochastic split-step \(\theta\) methods for stochastic delay differential equations
• Delay dependent asymptotic mean square stability analysis of the stochastic exponential Euler method
• Solution space characterisation of perturbed linear Volterra integrodifferential convolution equations: the \(L^p\) case
• Asymptotic and exponential decay in mean square for delay geometric Brownian motion.
• Large deviations for neutral functional SDEs with jumps
• On oscillations of the geometric Brownian motion with time-delayed drift
• DC-dominant property of cone-preserving transfer functions
• A Cucker-Smale model with noise and delay
• Asymptotic mean square stability of predictor-corrector methods for stochastic delay ordinary and partial differential equations
• Delay-dependent stability of predictor-corrector methods of Runge-Kutta type for stochastic delay differential equations
• Delay-dependent stability analysis of numerical methods for stochastic delay differential equations

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