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

DOI10.1016/J.SPL.2004.03.013zbMath1126.60048OpenAlexW2095396596MaRDI QIDQ868267

Uwe Küchler, Alexander A. Gushchin

Publication date: 2 March 2007

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://edoc.hu-berlin.de/18452/4218

zbMATH Keywords

geometric Brownian motionstochastic delay differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic functional-differential equations (34K50) Stochastic systems in control theory (general) (93E03)

Related Items (2)

On the positivity and zero crossings of solutions of stochastic Volterra integrodifferential equations ⋮ Path dependent volatility

Cites Work

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