Asymptotic and exponential decay in mean square for delay geometric Brownian motion
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Publication:6340273
DOI10.21136/AM.2021.0358-20arXiv2005.03752WikidataQ115497884 ScholiaQ115497884MaRDI QIDQ6340273FDOQ6340273
Authors: Jan Haškovec 
Publication date: 7 May 2020
Abstract: We derive sufficient conditions for asymptotic and monotone exponential decay in mean square of solutions of the geometric Brownian motion with delay. The conditions are written in terms of the parameters and are explicit for the case of asymptotic decay. For exponential decay, they are easily resolvable numerically. The analytical method is based on construction of a Lyapunov functional (asymptotic decay) and forward-backward estimate for the square mean (exponential decay).
Brownian motion (60J65) Asymptotic theory of functional-differential equations (34K25) Stochastic functional-differential equations (34K50)
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