On oscillations of the geometric Brownian motion with time delayed drift

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.

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Year of publication:	2003
Authors:	Küchler, Uwe ; Gushchin, Alexander A.
Institutions:	Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Subject:	geometric Brownian motion \| stochastic delay \| differential equations \| oscillations

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Extent:	application/pdf
Series:	SFB 373 Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	Number 2003,8
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010983642