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~institution:"Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät"
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differential equations
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geometric Brownian motion
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oscillations
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stochastic delay
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Gushchin, Alexander A.
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Küchler, Uwe
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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On oscillations of the
geometric
Brownian
motion
with time delayed drift
Küchler, Uwe
;
Gushchin, Alexander A.
-
Sonderforschungsbereich 373, Quantifikation und …
-
2003
The
geometric
Brownian
motion
is the solution of a linear stochastic differential equation in the Itô-sense. If one …
Persistent link: https://www.econbiz.de/10010983642
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