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Portfolio liquidation with delayed information

Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Economic modelling 126 (2023), pp. 1-17

Persistent link: https://www.econbiz.de/10014461590

Pairs trading under delayed cointegration

Yan, Tingjin; Chiu, Mei Choi; Wong, Hoi Ying - In: Quantitative finance 22 (2022) 9, pp. 1627-1648

Persistent link: https://www.econbiz.de/10013367938

Portfolio optimization problem with delay under Cox-Ingersoll-Ross model

A, Chunxiang; Shao, Yi - In: Journal of mathematical finance 7 (2017) 3, pp. 699-717

Persistent link: https://www.econbiz.de/10011752489

Moment boundedness of linear stochastic delay differential equations with distributed delay

Wang, Zhen; Li, Xiong; Lei, Jinzhi - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 586-612

distributed delay. For a linear stochastic delay differential equation, the first moment stability is known to be identical to …

Persistent link: https://www.econbiz.de/10010719748

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