A stochastic delay financial model

Stochastic delay Lotka–Volterra model

We reveal in this paper that the environmental noise will not only suppress a potential population explosion in the stochastic delay Lotka–Volterra model but will also make the solutions to be stochastically ultimately bounded. To reveal these interesting facts, we stochastically perturb the delay Lotka–Volterra model ẋ(t) = diag(x1(t), . . . , xn(t))[b + Ax(t − τ)] into the Itô form dx(t)= dia...

Stochastic Delay Difference and Differential Equations: Applications to Financial Markets

This thesis deals with the asymptotic behaviour of stochastic difference and functional differential equations of Itô type. Numerical methods which both minimise error and preserve asymptotic features of the underlying continuous equation are studied. The equations have a form which makes them suitable to model financial markets in which agents use past prices. The second chapter deals with the...

A Stochastic Delay Differential Model of Cerebral Autoregulation

Mathematical models of the cardiovascular system and of cerebral autoregulation (CAR) have been employed for several years in order to describe the time course of pressures and flows changes subsequent to postural changes. The assessment of the degree of efficiency of cerebral auto regulation has indeed importance in the prognosis of such conditions as cerebro-vascular accidents or Alzheimer. I...

A Continuous-time Garch Model for Stochastic Volatility with Delay

We consider a (B, S)-security market with standard riskless asset B(t) = B0ert and risky asset S(t) with stochastic volatility depending on time t and the history of stock price over the interval [t − τ, t]. The stock price process S(t) satisfies a stochastic delay differential equation (SDDE) with past-dependent diffusion coefficient. We state some results on option pricing in such a market an...

A Stochastic Optimization Model for Groundwater Management