Asymptotic and exponential decay in mean square for delay geometric Brownian motion

Jan Haskovec

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arXiv · 2005.03752

Asymptotic and exponential decay in mean square for delay geometric Brownian motion

Jan Haskovec

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Abstract

We derive sufficient conditions for asymptotic and monotone exponential decay in mean square of solutions of the geometric Brownian motion with delay. The conditions are written in terms of the parameters and are explicit for the case of asymptotic decay. For exponential decay, they are easily resolvable numerically. The analytical method is based on construction of a Lyapunov functional (asymptotic decay) and forward-backward estimate for the square mean (exponential decay).

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Jan Haskovec. 2020-05-07. Asymptotic and exponential decay in mean square for delay geometric Brownian motion. https://arxiv.org/abs/2005.03752

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