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Keywords:
geometric Brownian motion; delay; asymptotic decay; exponential decay
geometric Brownian motion; delay; asymptotic decay; exponential decay
Summary:
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 a forward-backward estimate for the square mean (exponential decay).
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