On oscillations of the geometric Brownian motion with time-delayed drift

Statistics and Probability Letters

Volumn 70, Issue 1, 2004, Pages 19-24

  Gushchin, Alexander A ^a   Küchler, Uwe ^b  

^a STEKLOV MATHEMATICAL INSTITUTE   (Russian Federation)

^b HUMBOLDT UNIVERSITY   (Germany)

Author keywords

Geometric Brownian motion; Oscillations; Stochastic delay differential equations

Indexed keywords

EID: 4944242971     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spl.2004.03.013     Document Type: Article

References (5)

1. J.A.D. Appleby E. Buckwar Noise induced oscillation in solutions of stochastic delay differential equations. Discussion Paper 9/2003, Sonderforschungsbereich 373, Humboldt-Universitä t zu Berlin 2003
2. D.G. Hobson ogers Complete models with stochastic volatility Math. Finance 8 1998 27-48
3. I. Karatzas S.E. Shreve Brownian Motion and Stochastic Calculus second ed 1991 Springer New York
4. G.S. Ladde V. Lakshmikantham B.G. Zhang Oscillation Theory of Differential Equations with Deviating Arguments 1987 Marcel Dekker New York
5. X. Mao Stochastic Differential Equations and their Applications 1997 Horwood Publishing Chichester