On oscillations of the geometric Brownian motion with time-delayed drift
Download full text from publisher
As the access to this document is restricted, you may want to look for a different version below or search for a different version of it.
Other versions of this item:
- Küchler, Uwe & Gushchin, Alexander A., 2003. "On oscillations of the geometric Brownian motion with time delayed drift," SFB 373 Discussion Papers 2003,8, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
References listed on IDEAS
- 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.
More about this item
KeywordsGeometric Brownian motion Stochastic delay differential equations Oscillations;
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:stapro:v:70:y:2004:i:1:p:19-24. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Dana Niculescu). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .