Asymptotic and exponential decay in mean square for delay geometric Brownian motion
Applications of Mathematics (2022)
- Volume: 67, Issue: 4, page 471-483
- ISSN: 0862-7940
Access Full Article
topAbstract
topHow to cite
topReferences
top- Appleby, J. A. D., Mao, X., Riedle, M., 10.1090/S0002-9939-08-09490-2, Proc. Am. Math. Soc. 137 (2009), 339-348. (2009) Zbl1156.60045MR2439458DOI10.1090/S0002-9939-08-09490-2
- Barbălat, I., Systèmes d'équations différentielles d'oscillations nonlinéaires, Acad. Républ. Popul. Roum., Rev. Math. Pur. Appl. 4 (1959), 267-270 French. (1959) Zbl0090.06601MR0111896
- El'sgol'ts, L. E., Norkin, S. B., 10.1016/s0076-5392(08)x6170-3, Mathematics in Science and Engineering. Academic Press, New York (1973). (1973) Zbl0287.34073MR0352647DOI10.1016/s0076-5392(08)x6170-3
- Erban, R., Haškovec, J., Sun, Y., 10.1137/15M1030467, SIAM J. Appl. Math. 76 (2016), 1535-1557. (2016) Zbl1345.60063MR3534479DOI10.1137/15M1030467
- Fridman, E., 10.1016/j.ejcon.2014.10.001, Eur. J. Control 20 (2014), 271-283. (2014) Zbl1403.93158MR3283869DOI10.1016/j.ejcon.2014.10.001
- Guillouzic, S., Fokker-Planck Approach to Stochastic Delay Differential Equations: Thesis, University of Ottawa, Ottawa (2000). (2000)
- Győri, I., Ladas, G., Oscillation Theory of Delay Differential Equations: With Applications, Oxford Mathematical Monographs. Clarendon Press, Oxford (1991). (1991) Zbl0780.34048MR1168471
- Hull, J. C., Options, Futures, and other Derivatives, Prentice-Hall, Upper Saddle River (2003). (2003) Zbl1087.91025
- Kolmanovskij, V., Myshkis, A., 10.1007/978-94-015-8084-7, Mathematics and Its Applications. Soviet Series 85. Kluwer Academic Publishers, Dordrecht (1992). (1992) Zbl0785.34005MR1256486DOI10.1007/978-94-015-8084-7
- Kolmanovskij, V., Myshkis, A., 10.1007/978-94-017-1965-0, Mathematics and Its Applications (Dordrecht) 463. Kluwer Academic Publishers, Dordrecht (1999). (1999) Zbl0917.34001MR1680144DOI10.1007/978-94-017-1965-0
- Mao, X., 10.1533/9780857099402, Ellis Horwood Series in Mathematics and Its Applications. Horwood Publishing, Chichester (1997). (1997) Zbl0892.60057MR1475218DOI10.1533/9780857099402
- Mao, X., 10.1049/iet-cta:20070006, IET Control Theory Appl. 1 (2007), 1551-1566. (2007) MR2352175DOI10.1049/iet-cta:20070006
- Mohammed, S.-E. A., Scheutzow, M. K. R., 10.1214/aop/1024404511, Ann. Probab. 25 (1997), 1210-1240. (1997) Zbl0885.60043MR1457617DOI10.1214/aop/1024404511
- ksendal, B. Ø, 10.1007/978-3-642-14394-6, Universitext. Springer, Berlin (2003). (2003) Zbl1025.60026MR2001996DOI10.1007/978-3-642-14394-6
- Smith, H., 10.1007/978-1-4419-7646-8, Texts in Applied Mathematics 57. Springer, New York (2011). (2011) Zbl1227.34001MR2724792DOI10.1007/978-1-4419-7646-8
- Sun, J., Chen, J., 10.1007/s11704-016-6120-3, Front. Comput. Sci. 11 (2017), 555-567. (2017) Zbl1405.34046DOI10.1007/s11704-016-6120-3