Resource title

On oscillations of the geometric Brownian motion with time delayed drift

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Resource description

The 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 nonnegative initial process then the process generated in this way, may hit zero and may oscillate around zero infinitely often depending on properties of both drift terms and the diffusion constant.

Resource author

Uwe Küchler, Alexander A. Gushchin

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22223

Resource license

Adapt according to the presented license agreement and reference the original author.