Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 2 of 2 for “"Stochastic Delay Differential Equations"”.
-
Spectral Solution Method for Distributed Delay Stochastic Differential Equations
Stochastic delay differential equations naturally arise in models of complex natural phenomena, yet continue to resist efforts to find analytical solutions to them: general solutions are limited to linear systems with additive noise and a single delayed term. In this work we solve the case of …
-
A Stochastic Delay Model for Pricing Corporate Liabilities
… that the price of a firm follows a nonlinear stochastic delay differential equation. We also assume that any claim whose value depends on firm value and time follows a nonlinear stochastic delay differential equation. Using self-financed strategy and replication we are able to derive a random …