Geometric Brownian motion with delay: mean square characterisation
DOI10.1090/S0002-9939-08-09490-2zbMath1156.60045arXivmath/0703837OpenAlexW2015493381MaRDI QIDQ3600616
Xuerong Mao, John A. D. Appleby, Markus 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
stochastic functional differential equationsgeometric Brownian motionrenewal equationmean square stabilityvariation of constants formula
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)
Related Items (10)
Cites Work
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- Introduction to functional differential equations
- Lyapunov exponents of linear stochastic functional differential equations. II: Examples and case studies
- Delay equations. Functional-, complex-, and nonlinear analysis
- On Émery's Inequality and a Variation-of-Constants Formula
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