Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22223
Authors: 
Küchler, Uwe
Gushchin, Alexander A.
Year of Publication: 
2003
Series/Report no.: 
Discussion papers of interdisciplinary research project 373 2003,8
Abstract: 
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 around zero infinitely often depending on properties of both drift terms and the diffusion constant.
Subjects: 
geometric Brownian motion
stochastic delay
differential equations
oscillations
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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