Geometric Brownian motion with delay: mean square characterisation

DOI10.1090/S0002-9939-08-09490-2zbMATH Open1156.60045arXivmath/0703837OpenAlexW2015493381MaRDI QIDQ3600616FDOQ3600616

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)

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.

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

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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)

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Cited In (12)

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

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