On oscillations of the geometric Brownian motion with time-delayed drift
AbstractThe geometric Brownian motion is the solution of a linear stochastic differential equation in the Itô sense. If one adds to the drift term a possible nonlinear time-delayed term and starts with a non-negative initial process then the process generated in this way, may hit zero and may oscillate around zero infinitely many times depending on properties of both the drift terms and the diffusion constant.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoArticle provided by Elsevier in its journal Statistics & Probability Letters.
Volume (Year): 70 (2004)
Issue (Month): 1 (October)
Contact details of provider:
Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Appleby, John A. D. & Buckwar, Evelyn, 2003. "Noise Induced Oscillation in Solutions of Stochastic Delay Differential Equations," SFB 373 Discussion Papers 2003,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- David G. Hobson & L. C. G. Rogers, 1998. "Complete Models with Stochastic Volatility," Mathematical Finance, Wiley Blackwell, vol. 8(1), pages 27-48.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If references are entirely missing, you can add them using this form.