Search Results - subject:"stochastic functional differential equation"

A conditional equity risk model for regulatory assessment

Floryszczak, A.; Lévy Véhel, Jacques; Majri, M. - In: Astin bulletin : the journal of the International … 49 (2019) 1, pp. 217-242

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012105450

Existence of invariant measures of stochastic systems with delay in the highest order partial derivatives

Liu, Kai - In: Statistics & Probability Letters 94 (2014) C, pp. 267-272

In this note, we shall consider the existence of invariant measures for a class of infinite dimensional stochastic functional differential equations with delay whose driving semigroup is eventually norm continuous. The results obtained are applied to stochastic heat equations with distributed...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010930587

Bubbles and crashes in a Black–Scholes model with delay

Appleby, John; Riedle, Markus; Swords, Catherine - In: Finance and Stochastics 17 (2013) 1, pp. 1-30

This paper studies the asymptotic behaviour of an affine stochastic functional differential equation modelling the …

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010600736