IIARD International Institute of Academic Research and Development

INTERNATIONAL JOURNAL OF APPLIED SCIENCES AND MATHEMATICAL THEORY (IJASMT )

E- ISSN 2489-009X
P- ISSN 2695-1908
VOL. 9 NO. 2 2023
DOI: https://doi.org/10.56201/ijasmt.v9.no2.2023.pg30.43

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A Solution of Non-Linear Stochastic Delay Differential Equation on Asset Values for Capital Market Prices

Amadi,I. U. Tamunotonye, R., and Azor P.A

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Abstract

The effect of time delay on the solution of Non-linear Stochastic Delay Differential Equation (SDDE) is considered. The problem were solved analytical by the method of Ito’s to obtain a solution which gave birth to two additional solutions by the change of initial closing stock prices under multiplicative effects rate of returns. More so, various statistical tests were obtained effectively. To this end, the influences of the relevant parameters of stochastic quantities were all discussed in this paper.

keywords:

Stochastic Analysis Asset value, Multiplicative effects, and SDDE

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References:

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Osu, B. O. (2010). A Stochastic Model of the variation of the Capital Market Price.
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Browne, S. (1995). Optimal Investment Policies for a Firm with a Random Risk Process
Exponential Utility and Minimizing the Probability of Ruin. Mathematics of
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