Search Results - subject:"stochastic delay differential equation"

Time Delay and Noise Explaining Cyclical Fluctuations in Prices of Commodities

Küchler, Uwe; Platen, Eckhard - Finance Discipline Group, Business School - 2007

delay differential equation. The typical behavior of a commodity price index under this model will be discussed. Methods for … delays caused by the time between initiation of production and delivery. The proposed model is formulated as a stochastic …

Persistent link: https://www.econbiz.de/10004984537

An optimal stopping problem in a diffusion-type model with delay

Gapeev, Pavel V.; Reiß, Markus - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2005

We present an explicit solution to an optimal stopping problem in a model described by a stochastic delay differential … equation with an exponential delay measure. The method of proof is based on reducing the initial problem to a free …

Persistent link: https://www.econbiz.de/10005652779

On oscillations of the geometric Brownian motion with time delayed drift

Küchler, Uwe; Gushchin, Alexander A. - 2003

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...

Persistent link: https://www.econbiz.de/10010296444